1994年8月
DUALITY AND LOWER BOUNDS IN OPTIMAL STOCHASTIC-CONTROL
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
- 巻
- 25
- 号
- 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
- ID情報
-
- DOI : 10.1080/00207729408949283
- ISSN : 0020-7721
- Web of Science ID : WOS:A1994PF60300009