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Erschienen in:
1992 | OriginalPaper | Buchkapitel
Computational Methods for Controlled Markov Chains
verfasst von : Harold J. Kushner, Paul G. Dupuis
Erschienen in: Numerical Methods for Stochastic Control Problems in Continuous Time
Verlag: Springer US
Enthalten in: Professional Book Archive
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The chapter presents many of the basic ideas which are in current use for the solution of the dynamic programming equations for the optimal control and value function for the approximating Markov chain models. We concentrate on methods for problems which are of interest over a potentially unbounded time interval. Numerical methods for the ergodic problem will be discussed in Chapter 7, and are simple modifications of the ideas of this chapter. Some approaches to the numerical problem for the finite time problem will be discussed in Chapter 12.