Stochastic problems with unbounded control set

Author

Dorroh, J.R. ; Ferreyra, G. ; Sundar, P.

Author_Institution

Dept. of Math., Louisiana State Univ., Baton Rouge, LA, USA

fYear

1996

fDate

31 Mar-2 Apr 1996

Firstpage

170

Lastpage

174

Abstract

Describes a change of time technique for stochastic control problems with unbounded control set. The authors demonstrate the technique on a class of maximization problems that do not have optimal controls. Given such a problem, the authors introduce an extended problem which has the same value function as the original problem and for which there exist optimal controls that are expressible in simple terms. This device yields a natural sequence of suboptimal controls for the original problem. By this the authors mean a sequence of controls for which the payoff functions approach the value function

Keywords

optimal control; optimisation; stochastic systems; suboptimal control; change of time technique; maximization problems; payoff functions; stochastic control problems; suboptimal controls; unbounded control set; value function; Advertising; Automatic control; Control systems; Differential equations; Mathematics; Optimal control; Stochastic processes; Stochastic systems; Time measurement; Writing;

fLanguage

English

Publisher

ieee

Conference_Titel

System Theory, 1996., Proceedings of the Twenty-Eighth Southeastern Symposium on

Conference_Location

Baton Rouge, LA

ISSN

0094-2898

Print_ISBN

0-8186-7352-4

Type

conf

DOI

10.1109/SSST.1996.493492

Filename

493492