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On Efficiency of Solutions of Stochastic Optimal Control Problem with Discrete Time

Authors:
Igor I. Gasanov
Iouldouz S. Raguimov

Keywords: Markov decision process; stochastic optimization; parametric optimization; optimization on time series.

Abstract:
For stochastic optimal control problem with discrete time, the efficiency of solutions corresponding to the parameters of a stochastic process determined by the method of optimization on time series is analyzed in comparison to the solutions related to the parameters obtained using a common statistical method of estimation. Parametric optimization problems for continuous and discrete stochastic optimization problems are introduced and the corresponding problems of optimization on time series are formulated. When a sample size is increasing, the asymptotic properties of solutions to the considered problems are investigated. Theorems on the convergence of the optimal objective value of discrete problem of parametric optimization on time series to the optimal objective value of the related discrete stochastic optimization problem have been formulated and proved.

Pages: 1 to 4

Copyright: Copyright (c) IARIA, 2012

Publication date: October 21, 2012

Published in: conference

ISSN: 2308-3484

ISBN: 978-1-61208-226-4

Location: Venice, Italy

Dates: from October 21, 2012 to October 26, 2012