Matches in SemOpenAlex for { <https://semopenalex.org/work/W4302080706> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W4302080706 abstract "The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic control problem using minimax theory, in which the control minimizes the pay-off while the conditional distribution, from the total variation distance set, maximizes it. First, we investigate the maximization of a linear functional on the space of probability measures on abstract spaces, among those probability measures which are within a total variation distance from a nominal probability measure, and then we give the maximizing probability measure in closed form. Second, we utilize the solution of the maximization to solve minimax stochastic control with deterministic control strategies, under a Markovian and a non-Markovian assumption, on the conditional distributions of the controlled process. The results of this part include: 1) Minimax optimization subject to total variation distance ambiguity constraint; 2) new dynamic programming recursions, which involve the oscillator seminorm of the value function, in addition to the standard terms; 3) new infinite horizon discounted dynamic programming equation, the associated contractive property, and a new policy iteration algorithm. Finally, we provide illustrative examples for both the finite and infinite horizon cases. For the infinite horizon case we invoke the new policy iteration algorithm to compute the optimal strategies." @default.
- W4302080706 created "2022-10-06" @default.
- W4302080706 creator A5035087201 @default.
- W4302080706 creator A5058381580 @default.
- W4302080706 creator A5062456864 @default.
- W4302080706 date "2014-02-05" @default.
- W4302080706 modified "2023-10-15" @default.
- W4302080706 title "Dynamic Programming Subject to Total Variation Distance Ambiguity" @default.
- W4302080706 doi "https://doi.org/10.48550/arxiv.1402.1009" @default.
- W4302080706 hasPublicationYear "2014" @default.
- W4302080706 type Work @default.
- W4302080706 citedByCount "0" @default.
- W4302080706 crossrefType "posted-content" @default.
- W4302080706 hasAuthorship W4302080706A5035087201 @default.
- W4302080706 hasAuthorship W4302080706A5058381580 @default.
- W4302080706 hasAuthorship W4302080706A5062456864 @default.
- W4302080706 hasBestOaLocation W43020807061 @default.
- W4302080706 hasConcept C105795698 @default.
- W4302080706 hasConcept C106189395 @default.
- W4302080706 hasConcept C118615104 @default.
- W4302080706 hasConcept C126255220 @default.
- W4302080706 hasConcept C137631369 @default.
- W4302080706 hasConcept C149441793 @default.
- W4302080706 hasConcept C149728462 @default.
- W4302080706 hasConcept C159886148 @default.
- W4302080706 hasConcept C186215838 @default.
- W4302080706 hasConcept C21031990 @default.
- W4302080706 hasConcept C2776330181 @default.
- W4302080706 hasConcept C2780009758 @default.
- W4302080706 hasConcept C33923547 @default.
- W4302080706 hasConcept C37404715 @default.
- W4302080706 hasConcept C41008148 @default.
- W4302080706 hasConcept C43555835 @default.
- W4302080706 hasConcept C77088390 @default.
- W4302080706 hasConceptScore W4302080706C105795698 @default.
- W4302080706 hasConceptScore W4302080706C106189395 @default.
- W4302080706 hasConceptScore W4302080706C118615104 @default.
- W4302080706 hasConceptScore W4302080706C126255220 @default.
- W4302080706 hasConceptScore W4302080706C137631369 @default.
- W4302080706 hasConceptScore W4302080706C149441793 @default.
- W4302080706 hasConceptScore W4302080706C149728462 @default.
- W4302080706 hasConceptScore W4302080706C159886148 @default.
- W4302080706 hasConceptScore W4302080706C186215838 @default.
- W4302080706 hasConceptScore W4302080706C21031990 @default.
- W4302080706 hasConceptScore W4302080706C2776330181 @default.
- W4302080706 hasConceptScore W4302080706C2780009758 @default.
- W4302080706 hasConceptScore W4302080706C33923547 @default.
- W4302080706 hasConceptScore W4302080706C37404715 @default.
- W4302080706 hasConceptScore W4302080706C41008148 @default.
- W4302080706 hasConceptScore W4302080706C43555835 @default.
- W4302080706 hasConceptScore W4302080706C77088390 @default.
- W4302080706 hasLocation W43020807061 @default.
- W4302080706 hasLocation W43020807062 @default.
- W4302080706 hasOpenAccess W4302080706 @default.
- W4302080706 hasPrimaryLocation W43020807061 @default.
- W4302080706 hasRelatedWork W1971867489 @default.
- W4302080706 hasRelatedWork W2017723308 @default.
- W4302080706 hasRelatedWork W2071970553 @default.
- W4302080706 hasRelatedWork W2592623155 @default.
- W4302080706 hasRelatedWork W2796775270 @default.
- W4302080706 hasRelatedWork W3168953348 @default.
- W4302080706 hasRelatedWork W4233361406 @default.
- W4302080706 hasRelatedWork W4238858747 @default.
- W4302080706 hasRelatedWork W4298857702 @default.
- W4302080706 hasRelatedWork W2046750897 @default.
- W4302080706 isParatext "false" @default.
- W4302080706 isRetracted "false" @default.
- W4302080706 workType "article" @default.