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On the policy improvement algorithm in continuous time
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Jacka, Saul D. and Mijatovic, Aleksandar (2017) On the policy improvement algorithm in continuous time. Stochastics : An International Journal of Probability and Stochastic Processes, 89 (1). pp. 348-359. doi:10.1080/17442508.2016.1187609 ISSN 1744-2508.
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Official URL: http://dx.doi.org/10.1080/17442508.2016.1187609
Abstract
We develop a general approach to the Policy Improvement Algorithm (PIA) for stochastic control problems for continuous-time processes. The main results assume only that the controls lie in a compact metric space and give general sufficient conditions for the PIA to be
well-defined and converge in continuous time (i.e. without time discretisation). It emerges that the natural context for the PIA in continuous time is weak stochastic control. We give examples
of control problems demonstrating the need for the weak formulation as well as diffusion-based classes of problems where the PIA in continuous time is applicable.
Item Type: | Journal Article | ||||||||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||
Journal or Publication Title: | Stochastics : An International Journal of Probability and Stochastic Processes | ||||||||||
Publisher: | Taylor & Francis | ||||||||||
ISSN: | 1744-2508 | ||||||||||
Official Date: | 2017 | ||||||||||
Dates: |
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Volume: | 89 | ||||||||||
Number: | 1 | ||||||||||
Page Range: | pp. 348-359 | ||||||||||
DOI: | 10.1080/17442508.2016.1187609 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published | ||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||
Date of first compliant deposit: | 6 May 2016 | ||||||||||
Date of first compliant Open Access: | 23 May 2017 |
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