Linear programming formulation for optimal stopping problems

SIAM Journal on Control and Optimization

Volumn 40, Issue 6, 2002, Pages 1965-1982

  Cho, Moon Jung ^a   Stockbridge, Richard H ^a  

^a UNIVERSITY OF KENTUCKY   (United States)

Author keywords

Linear programming; Occupation measures; Optimal stopping

Indexed keywords

APPROXIMATION THEORY; DECISION THEORY; EQUIVALENCE CLASSES; MARKOV PROCESSES; NUMERICAL METHODS; PROBABILITY DISTRIBUTIONS; PROBLEM SOLVING;

OCCUPATION MEASURES; OPTIMAL STOPPING PROBLEMS;

LINEAR PROGRAMMING;

EID: 0036929555     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900377663     Document Type: Article

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