An iterative procedure for constructing subsolutions of deterministic or stochastic optimal control problems in discrete time with continuous state space is introduced. The procedure generates a nondecreasing sequence of subsolutions, giving true lower bounds on the minimal costs. Convergence of the values at any fixed initial state is shown.
An iterative procedure for constructing subsolutions of discrete-time optimal control problems
Fischer, Markus
2011
Abstract
An iterative procedure for constructing subsolutions of deterministic or stochastic optimal control problems in discrete time with continuous state space is introduced. The procedure generates a nondecreasing sequence of subsolutions, giving true lower bounds on the minimal costs. Convergence of the values at any fixed initial state is shown.
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