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Dynamics Aggregation in Stochastic Control Problems

Research paper by A. RuszczyŃski

Indexed on: 01 Jun '00Published on: 01 Jun '00Published in: Journal of Optimization Theory and Applications



Abstract

For stochastic control problems with mixed state-control constraints, we develop a dynamics aggregation method which replaces the stochastic differential or difference equation with a simpler constraint. Solutions of such simplified problems are used to construct a sequence of approximations to the original problem. Convergence properties of the method for both discrete-time and continuous-time models are analyzed in detail.