Numerical Comparison of Controls

نویسندگان

  • Kurt Helmes
  • Richard H. Stockbridge
چکیده

We provide two approaches to the numerical analysis of stochastic control problems. These analyses rely on linear programming formulations of the control problem and allow numerical comparison between controls and numerical veriication of optimality. The formulations characterize the processes through the moments of the induced occupation measures. We deal directly with the processes rather than with some approximations to the processes. Excellent software is readily available since the computations involve nite dimensional linear programs.

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تاریخ انتشار 1997