Avtomat. i Telemekh., 2018, Issue 2, Pages 3–18
This article is cited in 3 scientific papers (total in 3 papers)
Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
V. M. Azanov, Yu. S. Kan
Moscow Aviation Institute (National State University), Moscow, Russia
Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman equation for this class of problems were examined, and the two-sided estimate of the Bellman function was determined. The problem of optimal control of the security portfolio with one riskless and a given number of risk assets was considered by way of example. The class of strategies featuring asymptotic optimality was established using the two-sided estimate of the Bellman function.
optimal stochastic control, probabilistic criterion, discrete systems, dynamic programming method.
|Russian Science Foundation
|Russian Foundation for Basic Research
|Results of Section 3 were supported by the Russian Foundation for Basic Research, project no. 15-08-02833. Other studies have been supported by the Russian Scientific Foundation, project no. 16-11-00062.
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Automation and Remote Control, 2018, 79:2, 203–215
Presented by the member of Editorial Board: À. È. Êèáçóí
V. M. Azanov, Yu. S. Kan, “Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion”, Avtomat. i Telemekh., 2018, no. 2, 3–18; Autom. Remote Control, 79:2 (2018), 203–215
Citation in format AMSBIB
\by V.~M.~Azanov, Yu.~S.~Kan
\paper Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
\jour Avtomat. i Telemekh.
\jour Autom. Remote Control
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V. M. Azanov, Yu. S. Kan, “On optimal retention of the trajectory of discrete stochastic system in tube”, Autom. Remote Control, 80:1 (2019), 30–42
V. M. Azanov, Yu. S. Kan, “Usilennaya otsenka funktsii Bellmana v zadachakh stokhasticheskogo optimalnogo upravleniya s veroyatnostnym kriteriem kachestva”, Avtomat. i telemekh., 2019, no. 4, 53–69
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