Series Solution of Discrete Time Stochastic Optimal Control Problems
Optimization and Control
2019-03-26 v1
Abstract
In this paper we consider discrete time stochastic optimal control problems 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.
Cite
@article{arxiv.1903.10324,
title = {Series Solution of Discrete Time Stochastic Optimal Control Problems},
author = {Arthur J Krener},
journal= {arXiv preprint arXiv:1903.10324},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1806.04120