Un problema di controllo stocastico per lo sfruttamento di una risorsa rinnovabile
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Displaying 1 – 5 of 5
Un problème de contrôle géométrique et les équations de Hamilton-Jacobi-Bellman
Pierre-Louis Lions (1980)
Annales de la Faculté des sciences de Toulouse : Mathématiques
Unicité des lois optimales du contrôle stochastique continu dans le cas complètement observable
M. Fujisaki (1981)
Annales scientifiques de l'Université de Clermont. Mathématiques
Uniqueness and approximate computation of optimal incomplete transportation plans
P. C. Álvarez-Esteban, E. del Barrio, J. A. Cuesta-Albertos, C. Matrán (2011)
Annales de l'I.H.P. Probabilités et statistiques
For α∈(0, 1) an α-trimming, P∗, of a probability P is a new probability obtained by re-weighting the probability of any Borel set, B, according to a positive weight function, f≤1/(1−α), in the way P∗(B)=∫Bf(x)P(dx). If P, Q are probability measures on euclidean space, we consider the problem of obtaining the best L2-Wasserstein approximation between: (a) a fixed probability and trimmed versions of the other; (b) trimmed versions of both probabilities. These best trimmed approximations naturally...
Uniqueness of optimal policies as a generic property of discounted Markov decision processes: Ekeland's variational principle approach
R. Israel Ortega-Gutiérrez, Raúl Montes-de-Oca, Enrique Lemus-Rodríguez (2016)
Kybernetika
Many examples in optimization, ranging from Linear Programming to Markov Decision Processes (MDPs), present more than one optimal solution. The study of this non-uniqueness is of great mathematical interest. In this paper the authors show that in a specific family of discounted MDPs, non-uniqueness is a “fragile” property through Ekeland's Principle for each problem with at least two optimal policies; a perturbed model is produced with a unique optimal policy. This result not only supersedes previous...
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