Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter:
The present work is an extended version of a manuscript of a course which the author taught at the University of Hamburg during summer 1969. The main purpose has been to give a rigorous foundation of stochastic dynamic programming in a manner which makes the theory easily applicable to many differen...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1970
|
| Ausgabe: | 1st ed. 1970 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
33 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | The present work is an extended version of a manuscript of a course which the author taught at the University of Hamburg during summer 1969. The main purpose has been to give a rigorous foundation of stochastic dynamic programming in a manner which makes the theory easily applicable to many different practical problems. We mention the following features which should serve our purpose. a) The theory is built up for non-stationary models, thus making it possible to treat e.g. dynamic programming under risk, dynamic programming under uncertainty, Markovian models, stationary models, and models with finite horizon from a unified point of view. b) We use that notion of optimality (p-optimality) which seems to be most appropriate for practical purposes. c) Since we restrict ourselves to the foundations, we did not include practical problems and ways to their numerical solution, but we give (cf.section 8) a number of problems which show the diversity of structures accessible to non stationary dynamic programming. The main sources were the papers of Blackwell (65), Strauch (66) and Maitra (68) on stationary models with general state and action spaces and the papers of Dynkin (65), Hinderer (67) and Sirjaev (67) on non-stationary models. A number of results should be new, whereas most theorems constitute extensions (usually from stationary models to non-stationary models) or analogues to known results |
| Beschreibung: | 1 Online-Ressource (VI, 164 p) |
| ISBN: | 9783642462290 |
| DOI: | 10.1007/978-3-642-46229-0 |
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| edition | 1st ed. 1970 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:36Z |
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| institution | BVB |
| isbn | 9783642462290 |
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| spelling | Hinderer, K. Verfasser aut Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter by K. Hinderer 1st ed. 1970 Berlin, Heidelberg Springer Berlin Heidelberg 1970 1 Online-Ressource (VI, 164 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 33 The present work is an extended version of a manuscript of a course which the author taught at the University of Hamburg during summer 1969. The main purpose has been to give a rigorous foundation of stochastic dynamic programming in a manner which makes the theory easily applicable to many different practical problems. We mention the following features which should serve our purpose. a) The theory is built up for non-stationary models, thus making it possible to treat e.g. dynamic programming under risk, dynamic programming under uncertainty, Markovian models, stationary models, and models with finite horizon from a unified point of view. b) We use that notion of optimality (p-optimality) which seems to be most appropriate for practical purposes. c) Since we restrict ourselves to the foundations, we did not include practical problems and ways to their numerical solution, but we give (cf.section 8) a number of problems which show the diversity of structures accessible to non stationary dynamic programming. The main sources were the papers of Blackwell (65), Strauch (66) and Maitra (68) on stationary models with general state and action spaces and the papers of Dynkin (65), Hinderer (67) and Sirjaev (67) on non-stationary models. A number of results should be new, whereas most theorems constitute extensions (usually from stationary models to non-stationary models) or analogues to known results Operations Research/Decision Theory Operator Theory Operations research Decision making Operator theory Erscheint auch als Druck-Ausgabe 9783540049562 Erscheint auch als Druck-Ausgabe 9783642462306 https://doi.org/10.1007/978-3-642-46229-0 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hinderer, K. Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter Operations Research/Decision Theory Operator Theory Operations research Decision making Operator theory |
| title | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter |
| title_auth | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter |
| title_exact_search | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter |
| title_exact_search_txtP | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter |
| title_full | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter by K. Hinderer |
| title_fullStr | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter by K. Hinderer |
| title_full_unstemmed | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter by K. Hinderer |
| title_short | Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter |
| title_sort | foundations of non stationary dynamic programming with discrete time parameter |
| topic | Operations Research/Decision Theory Operator Theory Operations research Decision making Operator theory |
| topic_facet | Operations Research/Decision Theory Operator Theory Operations research Decision making Operator theory |
| url | https://doi.org/10.1007/978-3-642-46229-0 |
| work_keys_str_mv | AT hindererk foundationsofnonstationarydynamicprogrammingwithdiscretetimeparameter |