Weakly Chained Matrices, Policy Iteration, and Impulse Control
نویسندگان
چکیده
منابع مشابه
Weakly Chained Matrices, Policy Iteration, and Impulse Control
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasivariational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI problem. Scheme (i) takes the form of a Bellman problem involving an operator which ...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2016
ISSN: 0036-1429,1095-7170
DOI: 10.1137/15m1043431