On continuous-time discounted stochastic dynamic programming |
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| Authors: | Hang-Chin Lai Kensuke Tanaka |
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| Institution: | (1) Institute of Mathematics, National Tsing Hua University, Hsinchu, Taiwan, Republic of China;(2) Department of Mathematics, Faculty of Science, Niigata University, Niigata, Japan |
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| Abstract: | In this paper a continuous-time discounted dynamic programming problem in a Markov decision model is investigated. In many cases it is difficult to search directly for an optimal solution for such a programming problem. We introduce a Lagrangian-type programming problem associated with the original programming problem and show that, under some assumptions, a weak optimal solution exists for the Lagrangian problem. Moreover, we consider the original programming problem in the perturbed programming one and develop the Lagrangian duality. |
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