Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs
Optimization and Control
2016-10-17 v2 Probability
Abstract
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal stopping problems, we extend a well known explicit dynamic programming method for computing the value function and the optimal strategy to the case of signed switching costs.
Cite
@article{arxiv.1411.3981,
title = {Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs},
author = {Randall Martyr},
journal= {arXiv preprint arXiv:1411.3981},
year = {2016}
}
Comments
16 pages