Series Solution of Discrete Time Stochastic Optimal Control Problems

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1903-10324.pdf (221.14 KB)
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Krener, Arthur J.
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2019-03
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ArXiv
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Abstract
In this paper we consider discrete time stochastic optimal control prob- lems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic Programming Equations can be computed degree by degree.
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Preprint
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https://hdl.handle.net/10945/65337
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16 p.
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Krener, Arthur J. "Series Solution of Discrete Time Stochastic Optimal Control Problems." arXiv preprint arXiv:1903.10324 (2019).
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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