Stochastic dynamic programming with random disturbances

Regina Hildenbrandt

Discussiones Mathematicae Probability and Statistics (2003)

  • Volume: 23, Issue: 1, page 5-44
  • ISSN: 1509-9423

Abstract

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Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.

How to cite

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Regina Hildenbrandt. "Stochastic dynamic programming with random disturbances." Discussiones Mathematicae Probability and Statistics 23.1 (2003): 5-44. <http://eudml.org/doc/287603>.

@article{ReginaHildenbrandt2003,
abstract = {Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.},
author = {Regina Hildenbrandt},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {Stochastic dynamic programming; Markov decisions process; dominant policy; distance properties; (partial) certaintyequivalence principle; stochastic dynamic programming; Markov decision processes; distance property; certainty equivalence principle},
language = {eng},
number = {1},
pages = {5-44},
title = {Stochastic dynamic programming with random disturbances},
url = {http://eudml.org/doc/287603},
volume = {23},
year = {2003},
}

TY - JOUR
AU - Regina Hildenbrandt
TI - Stochastic dynamic programming with random disturbances
JO - Discussiones Mathematicae Probability and Statistics
PY - 2003
VL - 23
IS - 1
SP - 5
EP - 44
AB - Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.
LA - eng
KW - Stochastic dynamic programming; Markov decisions process; dominant policy; distance properties; (partial) certaintyequivalence principle; stochastic dynamic programming; Markov decision processes; distance property; certainty equivalence principle
UR - http://eudml.org/doc/287603
ER -

References

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  9. [9] R. Hildenbrandt, Methoden aus ganzzahliger Optimierung und Verbandstheorie zur Behandlung eines stochastischen dynamischen Transportproblems, Habilitationsschrift, TU Ilmenau 1995, (Libri BoD, 2000). 
  10. [10] R. Hildenbrandt, Zu stochastischen dynamischen Optimierungsproblems, Preprint No. M17/96, TU Ilmenau 1996. 
  11. [11] R. Hildenbrandt, Notes of stochastic dynamic programming, where the random disturbances are observed before the decision is made at each stage and corresponding problems with distance properties, Preprint No. M08/00, TU Ilmenau 2000. 
  12. [12] P. Kumar and R.P. Varaiya, Stochastic Systems: Estimation, Identification, and Adaptive Control, Prentice Hall, New Jersey 1986. Zbl0706.93057
  13. [13] A. Müller, Integralinduzierte Ordnungen und Metriken auf Mengen von Wahrscheinlichkeitsmaen mit Anwendungen bei Markovschen Entscheidungsprozessen, Dissertation, Universität Karlsruhe 1995. 
  14. [14] K. Neumann, Operations-Research-Verfahren, Band II Carl Hanser, München 1977. 
  15. [15] K. Neumann and M. Morlock, Operations Research, Carl Hanser Verlag München, Wien 1993. Zbl0778.90001
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  17. [17] H.J. Sebastian and N. Sieber, Diskrete dynamische Optimierung, Geest & K.G. Porting; Leipzig 1981. 

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