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A Simple Proof of the Theorem Concerning Optimality in a One-Dimensional Ergodic Control Problem

A Simple Proof of the Theorem Concerning Optimality in a One-Dimensional Ergodic Control Problem We give a simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem. We characterize the optimal control in the class of all Markov controls. Our proof is probabilistic and does not need to solve the corresponding Bellman equation. This simplifies the proof. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Simple Proof of the Theorem Concerning Optimality in a One-Dimensional Ergodic Control Problem

Applied Mathematics and Optimization , Volume 41 (1) – Jun 1, 2008

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References (14)

Publisher
Springer Journals
Copyright
Copyright © Inc. by 2000 Springer-Verlag New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s002459911001
Publisher site
See Article on Publisher Site

Abstract

We give a simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem. We characterize the optimal control in the class of all Markov controls. Our proof is probabilistic and does not need to solve the corresponding Bellman equation. This simplifies the proof.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Jun 1, 2008

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