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Avtomatika i Telemekhanika, 2018, Issue 2, Pages 3–18 (Mi at14721)  
This article is cited in 10 scientific papers (total in 10 papers)

Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion

V. M. Azanov, Yu. S. Kan

Moscow Aviation Institute (National State University), Moscow, Russia
Full-text PDF (863 kB) Citations (10)
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Abstract: Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman equation for this class of problems were examined, and the two-sided estimate of the Bellman function was determined. The problem of optimal control of the security portfolio with one riskless and a given number of risk assets was considered by way of example. The class of strategies featuring asymptotic optimality was established using the two-sided estimate of the Bellman function.
Keywords: optimal stochastic control, probabilistic criterion, discrete systems, dynamic programming method.
Funding agency Grant number
Russian Science Foundation 16-11-00062
Russian Foundation for Basic Research 15-08-02833
Results of Section 3 were supported by the Russian Foundation for Basic Research, project no. 15-08-02833. Other studies have been supported by the Russian Scientific Foundation, project no. 16-11-00062.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 20.03.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 2, Pages 203–215
DOI: https://doi.org/10.1134/S0005117918020017
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. M. Azanov, Yu. S. Kan, “Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion”, Avtomat. i Telemekh., 2018, no. 2, 3–18; Autom. Remote Control, 79:2 (2018), 203–215
Citation in format AMSBIB
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    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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