A policy iteration algorithm for fixed point problems with nonexpansive operators

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• 作者：Jean-Philippe Chancelier ; Marouen Messaoud and Agnès Sulem
• 关键词：Howard algorithm ; Policy iteration ; Impulse control ; Quasi ; variational inequalities ; Fixed point problems ; Optimal control of Markov Chains ; Nonexpansive operators
• 刊名：Mathematical Methods of Operations Research (ZOR)
• 出版年：2007
• 出版时间：April, 2007
• 年：2007
• 卷：65
• 期：2
• 页码：239-259
• 全文大小：215 KB
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Calculus of Variations and Optimal Control
  Operation Research and Decision Theory
  Business
  
• 出版者：Physica Verlag, An Imprint of Springer-Verlag GmbH
• ISSN：1432-5217

文摘

The aim of this paper is to solve the fixed point problems: v = Ov, with Ov(x) =def max(Lv(x), Bv(x) ), x ? e, (1) v = \mathcal{O}v,\quad \hbox{with}\, \mathcal{O}v(x) \mathop{=}^{\rm def} \max (Lv(x), Bv(x) ), x \in \varepsilon, \quad (1)