Abstract
This article is concerned with one of the traditional approaches for stochastic control problems: Stochastic dynamic programming. Brief descriptions of stochastic dynamic programming methods and related terminology are provided. Two asset-selling examples are presented to illustrate the basic ideas. A list of topics and references are also provided for further reading.
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© 2014 Springer-Verlag London
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Zhang, Q. (2014). Stochastic Dynamic Programming. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_230-1
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DOI: https://doi.org/10.1007/978-1-4471-5102-9_230-1
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Publisher Name: Springer, London
Online ISBN: 978-1-4471-5102-9
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