Tropical numerical methods for solving stochastic control problems - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Conference Papers Year : 2022

Tropical numerical methods for solving stochastic control problems

Abstract

We consider Dynamic programming equations associated to discrete time stochastic control problems with continuous state space, which arise in particular from monotone time discretizations of Hamilton-Jacobi-Bellman equations. We develop and study several numerical algorithms for solving such equations, combining tropical numerical methods and stochastic dual dynamic programming methods. We also compare these algorithms with the point based methods for solving Partially Observable Markov Decision Processes (POMDP).
Fichier principal
Vignette du fichier
akian_mtns2022.pdf (225.25 Ko) Télécharger le fichier
Origin Files produced by the author(s)

Dates and versions

hal-03944216 , version 1 (17-01-2023)

Identifiers

  • HAL Id : hal-03944216 , version 1

Cite

Marianne Akian, Jean-Philippe Chancelier, Luz Pascal, Benoît Tran. Tropical numerical methods for solving stochastic control problems. MTNS 2022 - 25th International Symposium on Mathematical Theory of Networks and Systems, Sep 2022, Bayreuth (DE), Germany. ⟨hal-03944216⟩
43 View
51 Download

Share

Gmail Mastodon Facebook X LinkedIn More