On the policy improvement algorithm in continuous time
Author:
Affiliation:
1. Department of Statistics, University of Warwick, Coventry, UK.
2. Department of Mathematics, King’s College, London, UK.
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1187609
Reference9 articles.
1. Continuous Time Control of Markov Processes on an Arbitrary State Space: Discounted Rewards
2. On the Convergence of Policy Iteration in Finite State Undiscounted Markov Decision Processes: The Unichain Case
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