caa a22 4500 445822651 CHVBK 20180317145248.0 cr unu---uuuuu 170323e20110301xx s 000 0 eng 10.1007/s10626-010-0093-4 doi (NATIONALLICENCE)springer-10.1007/s10626-010-0093-4 Stochastic control via direct comparison [Elektronische Daten] [Xi-Ren Cao, De-Xin Wang, Tao Lu, Yifan Xu] The standard approach to stochastic control is dynamic programming. In this paper, we introduce an alternative approach based on direct comparison of the performance of any two policies. This is achieved by modeling the state process as a continuous-time and continuous-state Markov process and applying the same ideas as for the discrete-time and discrete-state case. This approach is simple and intuitively clear; it applies to different problems with, finite and infinite horizons, discounted and long-run-average performance, continuous and jump diffusions, in the same way. Discounting is not needed when dealing with long-run average performance. The approach provides a unified framework for stochastic control and other optimization theory and methodologies, including Markov decision processes, perturbation analysis, and reinforcement learning. Springer Science+Business Media, LLC, 2010 Dynamic programming nationallicence Markov decision processes nationallicence HJB equation nationallicence Performance potentials nationallicence Poisson equation nationallicence Perturbation analysis nationallicence Sensitivity-based optimization nationallicence Cao Xi-Ren Shanghai Jiaotong University, Shanghai, China aut Wang De-Xin Hong Kong University of Science and Technology, Hong Kong, Hong Kong aut Lu Tao Hong Kong University of Science and Technology, Hong Kong, Hong Kong aut Xu Yifan Fudan University, Shanghai, China aut Discrete Event Dynamic Systems Springer US; http://www.springer-ny.com 21/1(2011-03-01), 11-38 0924-6703 21:1<11 2011 21 10626 https://doi.org/10.1007/s10626-010-0093-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10626-010-0093-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Cao Xi-Ren Shanghai Jiaotong University, Shanghai, China aut NATIONALLICENCE 700 1- Wang De-Xin Hong Kong University of Science and Technology, Hong Kong, Hong Kong aut NATIONALLICENCE 700 1- Lu Tao Hong Kong University of Science and Technology, Hong Kong, Hong Kong aut NATIONALLICENCE 700 1- Xu Yifan Fudan University, Shanghai, China aut NATIONALLICENCE 773 0- Discrete Event Dynamic Systems Springer US; http://www.springer-ny.com 21/1(2011-03-01), 11-38 0924-6703 21:1<11 2011 21 10626 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer