IEEE - Institute of Electrical and Electronics Engineers, Inc. - A probabilistic max-plus numerical method for solving stochastic control problems

2016 IEEE 55th Conference on Decision and Control (CDC)

Author(s): Marianne Akian ; Eric Fodjo
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2016
Conference Location: Las Vegas, NV, USA
Conference Date: 12 December 2016
Page(s): 7,392 - 7,397
ISBN (Electronic): 978-1-5090-1837-6
ISBN (DVD): 978-1-5090-1844-4
DOI: 10.1109/CDC.2016.7799411
Regular:

We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued... View More

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