The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Discounted continuous time Markov decision processes: the convex analytic
approach
A B Piunovskiy, Department of Mathematical Sciences, University of Liverpool
Wednesday, 27th October 2004, 2pm
The Whittaker Room (211)
Abstract:
The dynamic programming approach is well known for standard (scalar)
optimal control problems. At the same time, it is inconvenient for
multiple-objective problems. In this case, the so called `convex analytic
approach' proved to be useful. The well known Bellman equation can be
rewritten in the form of a linear program on the space of functions of
states and actions. The dual linear program (on the space of signed
measures) represents the main object in the framework of the convex
analytic approach. This technique is known for discrete-time models, but is
underdeveloped for continuous-time jump processes.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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