Towards Tensor Representation of Controlled Coupled Markov Chains

Towards Tensor Representation of Controlled Coupled Markov Chains

For a controlled system of coupled Markov chains, which share common control parameters, a tensor description is proposed. A control optimality condition in the form of a dynamic programming equation is derived in tensor form. This condition can be reduced to a system of coupled ordinary differentia...

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Bibliographic Details
Main Authors: Daniel McInnes, Boris Miller, Gregory Miller, Sergei Schreider
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Mathematics
Subjects:
coupled markov chains
stochastic control
optimal control
tensor representation
dynamic programming
Online Access:https://www.mdpi.com/2227-7390/8/10/1712

Internet

https://www.mdpi.com/2227-7390/8/10/1712

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