Numerical Analysis of a Functional Equation for the Stochastic Optimal Control Problem

This work presents the approach to solving the functional equation of non-local type that appears in the study of a stochastic optimal control problem. This experience demonstrates the challenges and possible solutions in the analysis of optimal control problems with Poisson uncertainty.

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Bibliographic Details
Published in:	2022 15th International Conference Management of large-scale system development (MLSD) pp. 1 - 4
Main Authors:	Chernov, Aleksey, Zhukova, Aleksandra
Format:	Conference Proceeding
Language:	English
Published:	IEEE 26-09-2022
Subjects:	Conference management functional equation Large-scale systems Numerical analysis numerical methods Optimal control Uncertainty
Online Access:	Get full text
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Description
Summary:	This work presents the approach to solving the functional equation of non-local type that appears in the study of a stochastic optimal control problem. This experience demonstrates the challenges and possible solutions in the analysis of optimal control problems with Poisson uncertainty.
DOI:	10.1109/MLSD55143.2022.9934195