Treffer: [Untitled]
Title:
[Untitled]
Authors:
Contributors:
The Pennsylvania State University CiteSeerX Archives
Publication Year:
2006
Collection:
CiteSeerX
Subject Terms:
Document Type:
Fachzeitschrift
text
File Description:
application/pdf
Language:
English
Relation:
Availability:
Rights:
Metadata may be used without restrictions as long as the oai identifier remains attached to it.
Accession Number:
edsbas.E0743100
Database:
BASE
Weitere Informationen
This paper approaches optimal control problems for discrete-time controlled Markov pro-cesses by representing the value of the problem in a dual Lagrangian form; the value is ex-pressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical methods based on Monte Carlo simulation which may be advantageous in high-dimensional problems, or in problems with complicated constraints.