MISC

1994年8月

DUALITY AND LOWER BOUNDS IN OPTIMAL STOCHASTIC-CONTROL

INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
  • S TANIMOTO

25
8
開始ページ
1365
終了ページ
1372
記述言語
英語
掲載種別
DOI
10.1080/00207729408949283
出版者・発行元
TAYLOR & FRANCIS LTD

A dual problem is proposed for an optimal stochastic control problem whose dynamical system is described by a linear stochastic differential equation. Relationships between the extreme values of the original and dual problems are discussed and two duality theorems are obtained. The dual problem furnishes lower bounds for the extreme value of the original problem.


リンク情報
DOI
https://doi.org/10.1080/00207729408949283
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:A1994PF60300009&DestApp=WOS_CPL
ID情報
  • DOI : 10.1080/00207729408949283
  • ISSN : 0020-7721
  • Web of Science ID : WOS:A1994PF60300009

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