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ArticleOriginal scientific text

Title

Stochastic dynamic programming with random disturbances

Authors 1

Affiliations

  1. Technical University Ilmenau, Institute of Mathematics, PSF 10 05 65, D-98684 Ilmenau, Germany

Abstract

Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.

Keywords

ENG
Stochastic dynamic programming, Markov decisions process, dominant policy, distance properties, (partial) certaintyequivalence principle

Bibliography

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Discussiones Mathematicae Probability and Statistics
2003/23/1
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Pages:
5-44
Main language of publication
English
Received
2002-01-15
Published
2003

DOI: 10.7151/dmps.1034

Exact and natural sciences