Lisa A. Korf Department of Mathematics University of California, Davis  Home/Search
Context
Related
| ucdavis.edu/~korf/PSfile...krfdcm.ps.gz Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: ucdavis.edu/~korf/abstracts (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: . New dual problems emphasizing decomposability are established for a general class of stochastic dynamic optimization problems, with piecewise linearquadratic objective function. Optimality conditions are derived which emphasize decomposition. The dual dynamics are conditioned on the available system state information, and this leads to a symmetry that is well-suited to computational methods such as operator splitting. Keywords: linear-quadratic programming, conditional expectation, optimal... (Update)
Active bibliography (related documents): More All
0.7: An Approximation Framework for Infinite Horizon Optimization.. - Korf (Correct)
0.5: Insurer's Portfolios of Risks: Approximating Infinite Horizon.. - Korf (1998) (Correct)
0.5: Challenges in Stochastic Programming - Wets (1994) (Correct)
Similar documents based on text: More All
0.3: An Approximation Framework For Infinite - Horizon Stochastic Dynamic (Correct)
0.2: Stochastic Programming Duality: L∞ Multipliers for Unbounded .. - Korf (Correct)
0.1: Martingale Pricing Measures in Incomplete Markets via.. - King, Korf (2002) (Correct)
BibTeX entry: (Update)
@misc{ korf-duality,
author = "Lisa Korf",
title = "Duality And Decomposition For Extended Linear-Quadratic Stochastic Control
Problems In Discrete Time",
url = "citeseer.ist.psu.edu/104577.html" }
Citations (may not include all citations):291 Markov Decision Processes: Discrete Stochastic Dynamic Progr.. (context) - Puterman - 1994
230 Dynamic Programming: deterministic and stochastic models (context) - Bertsekas - 1987 ACM
110 Variational Analysis (context) - Rockafellar, Wets - 1997
44 Optimum Consumption and Portfolio Rules in a Continuous-Time.. (context) - Merton - 1971
19 Generalized linear-quadratic problems of deterministic and s.. (context) - Rockafellar, Wets - 1990 ACM
5 Approximation and Solution Schemes for Stochastic Dynamic Op.. (context) - Korf - 1998
4 Duality in stochastic programming (context) - Rockafellar - 1998
4 A Splitting Algorithm for Multistage Stochastic Programming .. (context) - Salinger - 1997 ACM
2 An Optimal Investment/Consumption Model with Borrowing (context) - Fleming, Zariphopoulou - 1991
2 Stochastic dynamic optimization, approaches and computation (context) - Varaiya, Wets - 1989
1 Generalized linear-quadratic programming and optimal control (context) - Rockafellar - 1987
Documents on the same site (http://math.ucdavis.edu/~korf/abstracts.html): More
An Ergodic Theorem for Stochastic Programming Problems - Korf, Wets (1999) (Correct)
Random LSC Functions: Scalarization - Korf, Wets (1999) (Correct)
An Approximation Framework for Infinite Horizon Optimization.. - Korf (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC