Geodesic
Optimization of Discrete-Time, Stochastic Systems
Serdica Mathematical Journal, Tome 21 (1995) no. 4, pp. 267-282

Voir la notice de l'article provenant de la source Bulgarian Digital Mathematics Library

In this paper we study discrete-time, finite horizon stochastic systems with multivalued dynamics and obtain a necessary and sufficient condition for optimality using the dynamic programming method. Then we examine a nonlinear stochastic discrete-time system with feedback control constraints and for it, we derive a necessary and sufficient condition for optimality which we then use to establish the existence of an optimal policy.
Keywords: Bellman Function, Dynamic Programming, Conditional Expectation, Measurable Selection, Induction 
@article{SMJ2_1995_21_4_a0,
     author = {Papageorgiou, Nikolaos},
     title = {Optimization of {Discrete-Time,} {Stochastic} {Systems}},
     journal = {Serdica Mathematical Journal},
     pages = {267--282},
     publisher = {mathdoc},
     volume = {21},
     number = {4},
     year = {1995},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/SMJ2_1995_21_4_a0/}
}
TY  - JOUR
AU  - Papageorgiou, Nikolaos
TI  - Optimization of Discrete-Time, Stochastic Systems
JO  - Serdica Mathematical Journal
PY  - 1995
SP  - 267
EP  - 282
VL  - 21
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/SMJ2_1995_21_4_a0/
LA  - en
ID  - SMJ2_1995_21_4_a0
ER  - 
%0 Journal Article
%A Papageorgiou, Nikolaos
%T Optimization of Discrete-Time, Stochastic Systems
%J Serdica Mathematical Journal
%D 1995
%P 267-282
%V 21
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/SMJ2_1995_21_4_a0/
%G en
%F SMJ2_1995_21_4_a0
Papageorgiou, Nikolaos. Optimization of Discrete-Time, Stochastic Systems. Serdica Mathematical Journal, Tome 21 (1995) no. 4, pp. 267-282. http://geodesic.mathdoc.fr/item/SMJ2_1995_21_4_a0/