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Title: Optimization of Discrete-Time, Stochastic Systems
Authors: Papageorgiou, Nikolaos
Keywords: Bellman Function
Dynamic Programming
Conditional Expectation
Measurable Selection
Issue Date: 1995
Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation: Serdica Mathematical Journal, Vol. 21, No 4, (1995), 267p-282p
Abstract: 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.
Description: * This research was supported by a grant from the Greek Ministry of Industry and Technology.
ISSN: 1310-6600
Appears in Collections:Volume 21 Number 4

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