Stochastic optimization of forward recursive functions

摘要

This note solves a finite-horizon stochastic optimization problem with forward recursive criterion through dynamic programming. The forward recursive criterion is wide; it includes additive (discounted), multiplicative (discounted risk-sensitive), minimum and terminal criteria. The basic idea is to apply invariant imbedding method for the stochastic optimization. The method incorporates recursive accumulation process into dynamics by expanding the original state space. (C) 2003 Elsevier Inc. All rights reserved. [References: 35]