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Book Chapter

Numerical Methods for Control and Optimization

  • Yin G
  • Zhang Q
Springer New York, (1998), 277-298
DOI: 10.1007/978-1-4612-0627-9_10
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Abstract

… 9.3.1 Stochastic Optimization Formulation. As in the previous section, suppose that \(\alpha (\cdot )\) is a finite-state Markov chain with stationary transition probability or, equivalently, the generator \(Q(\cdot ) = Q\), a constant matrix …

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Yin, G. G., & Zhang, Q. (1998). Numerical Methods for Control and Optimization. In Continuous-Time Markov Chains and Applications (pp. 277–298). Springer New York. https://doi.org/10.1007/978-1-4612-0627-9_10

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