Direct solution of a Riccati equation arising in a stochastic control problem with control and observation on the boundary

1986 ◽  
Vol 14 (1) ◽  
pp. 107-129 ◽  
Author(s):  
Franco Flandoli
Keyword(s):  
Control Problem ◽  
Riccati Equation ◽  
Stochastic Control ◽  
Direct Solution ◽  
Stochastic Control Problem

A Lower Bounding Linear Programming approach to the Perimeter Patrol Stochastic Control Problem

2012 ◽  
Author(s):  
Krishnamoorthy Kalyanam ◽  
Swaroop Darbha ◽  
Myoungkuk Park ◽  
Meir Pachter ◽  
Phil Chandler ◽  
...  
Keyword(s):  
Linear Programming ◽  
Control Problem ◽  
Stochastic Control ◽  
Programming Approach ◽  
Linear Programming Approach ◽  
Lower Bounding ◽  
Stochastic Control Problem
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