Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/642

 Title: Optimization of Discrete-Time, Stochastic Systems Authors: Papageorgiou, Nikolaos Keywords: Bellman FunctionDynamic ProgrammingConditional ExpectationMeasurable SelectionInduction 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. URI: http://hdl.handle.net/10525/642 ISSN: 1310-6600 Appears in Collections: Volume 21 Number 4

Files in This Item:

File Description SizeFormat