An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined

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Year of publication:	1998
Authors:	Krawczyk, Jacek B. ; Windsor, Alistair
Publisher:	[S.l.] : SSRN
Subject:	Kontrolltheorie \| Control theory \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Dynamische Optimierung \| Dynamic programming \| Mathematische Optimierung \| Mathematical programming \| Entscheidung \| Decision

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