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  • 1
    Electronic Resource
    Electronic Resource
    On the average cost optimality equation and the structure of optimal policies for partially observable Markov decision processes (1991)
    Springer
    Annals of operations research 29 (1991), S. 439-469 
    Details
    ISSN: 1572-9338
    Keywords: Optimal control ; Markov chains ; partial observability ; average cost ; optimality equation ; structured optimal policies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider partially observable Markov decision processes with finite or countably infinite (core) state and observation spaces and finite action set. Following a standard approach, an equivalent completely observed problem is formulated, with the same finite action set but with anuncountable state space, namely the space of probability distributions on the original core state space. By developing a suitable theoretical framework, it is shown that some characteristics induced in the original problem due to the countability of the spaces involved are reflected onto the equivalent problem. Sufficient conditions are then derived for solutions to the average cost optimality equation to exist. We illustrate these results in the context of machine replacement problems. Structural properties for average cost optimal policies are obtained for a two state replacement problem; these are similar to results available for discount optimal policies. The set of assumptions used compares favorably to others currently available.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02283610
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  • 2
    Electronic Resource
    Electronic Resource
    A Technique for Stochastic Control Problems with Unbounded Control Set (1999)
    Springer
    Journal of theoretical probability 12 (1999), S. 255-270 
    Details
    ISSN: 1572-9230
    Keywords: Optimal control ; stochastic differential equations ; convergence in law ; unbounded control set ; suboptimal control
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract We describe a change of time technique for stochastic control problems with unbounded control set. We demonstrate the technique on a class of maximization problems that do not have optimal controls. Given such a problem, we introduce an extended problem which has the same value function as the original problem and for which there exist optimal controls that are expressible in simple terms. This device yields a natural sequence of suboptimal controls for the original problem. By this we mean a sequence of controls for which the payoff functions approach the value function.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1021761030407
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  • 3
    Electronic Resource
    Electronic Resource
    Opticon: An algorithm for the optimal control of nonlinear stochastic models (1992)
    Springer
    Annals of operations research 37 (1992), S. 375-401 
    Details
    ISSN: 1572-9338
    Keywords: Optimal control ; stochastic control ; dynamic systems ; nonlinear systems ; control algorithm ; optimal economic policies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we describe the algorithm OPTCON which has been developed for the optimal control of nonlinear stochastic models. It can be applied to obtain approximate numerical solutions of control problems where the objective function is quadratic and the dynamic system is nonlinear. In addition to the usual additive uncertainty, some or all of the parameters of the model may be stochastic variables. The optimal values of the control variables are computed in an iterative fashion: First, the time-invariant nonlinear system is linearized around a reference path and approximated by a time-varying linear system. Second, this new problem is solved by applying Bellman's principle of optimality. The resulting feedback equations are used to project expected optimal state and control variables. These projections then serve as a new reference path, and the two steps are repeated until convergence is reached. The algorithm has been implemented in the statistical programming system GAUSS. We derive some mathematical results needed for the algorithm and give an overview of the structure of OPTCON. Moreover, we report on some tentative applications of OPTCON to two small macroeconometric models for Austria.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02071066
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  • 4
    Electronic Resource
    Electronic Resource
    Exploitation of natural resources and pollution (1994)
    Springer
    Annals of operations research 54 (1994), S. 237-262 
    Details
    ISSN: 1572-9338
    Keywords: Optimal control ; differential games ; environmental policy ; JEL C61 ; C73 ; Q28
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper provides some differential game models of natural resource exploitation when environmental pollution takes place. The “classical” approach to determine optimal harvest rates of renewable resources utilizes Optimal Control models, i.e. there is either a monopolistic market structure or there is pure competition. In case of pollution, however, all agents can be put together, forming the groups of the resource harvesters on one side and of polluters on the other side. So differential games can be used to analyze environmental problems. The models introduced in this paper are put together in order to showdifferent problems that can all be analyzed using differential games.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02031736
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  • 5
    Electronic Resource
    Electronic Resource
    Optimal budgetary and monetary policies under uncertainty: A stochastic control approach (1995)
    Springer
    Annals of operations research 58 (1995), S. 379-402 
    Details
    ISSN: 1572-9338
    Keywords: Optimal control ; stochastic control ; dynamic systems ; economics ; public-sector applications ; optimization ; budgetary policies ; monetary policy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we determine optimal budgetary and monetary policies for Austria using a small macroeconometric model. We use a Keynesian model of the Austrian economy, called FINPOL1, estimated by ordinary least squares, which relates the main objective variables of Austrian economic policies, such as the growth rate of real gross domestic product, the rate of unemployment, the rate of inflation, the balance of payments, and the ratio of the federal budget deficit to GDP, to fiscal and monetary policy instruments, namely expenditures and revenues of the federal budget and money supply. Optimal fiscal and monetary policies are calculated for the model under a quadratic objective function using the algorithm OPTCON for the optimum control of nonlinear stochastic dynamic systems. Several control experiments are performed in order to assess the influence of different kinds of uncertainty on optimal budgetary and monetary policies. Apart from deterministic optimization runs, different assumptions about parameter uncertainties are introduced; the results of these different stochastic optimum control experiments are compared and interpreted.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02038862
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  • 6
    Electronic Resource
    Electronic Resource
    Optimal pollution control, irreversibilities, and the value of future information (1994)
    Springer
    Annals of operations research 54 (1994), S. 217-235 
    Details
    ISSN: 1572-9338
    Keywords: Optimal control ; growth paths ; exhaustible resources ; JEL C61 ; O41 ; Q23
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper focuses on the issue of optimal pollution control when either pollution itself is irreversible or when some characteristic of the environmental resource is irreversibly destroyed in the course of growing pollution. It is shown that exhausting the assimilative capacity through too heavy pollution is never optimal unless the rate of social time preference is sufficiently high. The paper also investigates the case that decisions about irreversible developments have to be made under uncertainty today when the decision maker faces the prospect of better information about the irreversible damage at some future point in time. A non-negative quasi-option value is shown to exist as in the Arrow-Fisher-Henry model that relates to natural resource deletion by projects of industrial development.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02031735
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  • 7
    Electronic Resource
    Electronic Resource
    A class of modified block SSOR preconditioners for symmetric positive definite systems of linear equations (1999)
    Springer
    Advances in computational mathematics 10 (1999), S. 169-186 
    Details
    ISSN: 1572-9044
    Keywords: symmetric positive definite linear system ; block SSOR iteration ; preconditioner ; hierarchical basis discretization ; 65F10 ; 65N20 ; CR: G1.8
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract A class of modified block SSOR preconditioners is presented for solving symmetric positive definite systems of linear equations, which arise in the hierarchical basis finite element discretizations of the second order self‐adjoint elliptic boundary value problems. This class of methods is strongly related to two level methods, standard multigrid methods, and Jacobi‐like hierarchical basis methods. The optimal relaxation factors and optimal condition numbers are estimated in detail. Theoretical analyses show that these methods are very robust, and especially well suited to difficult problems with rough solutions, discretized using highly nonuniform, adaptively refined meshes.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018974514896
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  • 8
    Electronic Resource
    Electronic Resource
    Finite element approximation on incompressible Navier-Stokes equations with slip boundary condition (1986)
    Springer
    Numerische Mathematik 50 (1986), S. 697-721 
    Details
    ISSN: 0945-3245
    Keywords: AMS(MOS): 65N30 ; CR: G1.8
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Summary We consider a mixed finite element approximation of the stationary, incompressible Navier-Stokes equations with slip boundary condition, which plays an important rôle in the simulation of flows with free surfaces and incompressible viscous flows at high angles of attack and high Reynold's numbers. The central point is a saddle-point formulation of the boundary conditions which avoids the well-known Babuška paradox when approximating smooth domains by polyhedrons. We prove that for the new formulation one can use any stable mixed finite element for the Navier-Stokes equations with no-slip boundary condition provided suitable bubble functions on the boundary are added to the velocity space. We obtain optimal error estimates under minimal regularity assumptions for the solution of the continous problem. The techniques apply as well to the more general Navier boundary condition.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01398380
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  • 9
    Electronic Resource
    Electronic Resource
    Applications of fixed-point methods to discrete variational and quasi-variational inequalities (1987)
    Springer
    Numerische Mathematik 51 (1987), S. 631-654 
    Details
    ISSN: 0945-3245
    Keywords: AMS(MOS): 65N20, 65N10 ; CR: G1.8
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Summary In this paper, discrete analogues of variational inequalities (V.I.) and quasi-variational inequalities (Q.V.I.), encountered in stochastic control and mathematical physics, are discussed. It is shown that those discrete V.I.'s and Q.V.I.'s can be written in the fixed point formx=Tx such that eitherT or some power ofT is a contraction. This leads to globally convergent iterative methods for the solution of discrete V.I.'s and Q.V.I.'s, which are very suitable for implementation on parallel computers with single-instruction, multiple-data architecture, particularly on massively parallel processors (M.P.P.'s).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01400174
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  • 10
    Electronic Resource
    Electronic Resource
    Compactness method in the finite element theory of nonlinear elliptic problems (1988)
    Springer
    Numerische Mathematik 52 (1988), S. 147-163 
    Details
    ISSN: 0945-3245
    Keywords: AMS(MOS): 65N30 ; CR: G1.8
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Summary Finite element approximation of a nonlinear elliptic pseudomonotone second-order boundary value problem in a bounded nonpolygonal domain Ω with mixed Dirichlet-Neumann boundary conditions is studied. In the discretization we approximate the domain Ω by a polygonal one, use linear conforming triangular elements and evaluate integrals by numerical quadratures. We prove the solvability of the discrete problem and on the basis of compactness properties of the corresponding operator (which is not monotone in general) we prove the convergence of approximate solutions to an exact weak solutionu∈H 1 Ω). No additional assumption on the regularity of the exact solution is needed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01398687
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