Управляемые Случайные Последовательности: Методы Выпуклого Анализа И Задачи С Функциональными Ограничениями

The paper shows how the mathematical tools of the theory of controlled Markov fields can be applied to model catastrophic risks caused by natural events or terrorist threats. The examples of problem statements of long-term investment in security are given. A survey of solution methods for stochastic optimal control problems is proposed. It is shown that these problems can be reduced to finite-dimensional stochastic programming problems and can be solved by the stochastic quasigradient method.

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Mathematical Modeling of Distributed Catastrophic and Terrorist Risks1

Haivoronskyy

Ermoliev

Knopov

et al. 2015

Cybern Syst Anal

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Methods to design optimal control of Markov process with finite state set in the presence of constraints

Miller

Semenikhin

2011

Autom Remote Control

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Extreme Occupation Measures in Markov Decision Processes with an Absorbing State

Piunovskiy,

Zhang

2024

SIAM J. Control Optim.

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Управляемые Случайные Последовательности: Методы Выпуклого Анализа И Задачи С Функциональными Ограничениями

Cited by 3 publications

References 89 publications

Mathematical Modeling of Distributed Catastrophic and Terrorist Risks1

Mathematical Modeling of Distributed Catastrophic and Terrorist Risks1

Methods to design optimal control of Markov process with finite state set in the presence of constraints

Extreme Occupation Measures in Markov Decision Processes with an Absorbing State

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