Conference Proceedings

Deterministic optimal stopping via a max-plus method

PM Dower, H Zhang

Proceedings of the 2011 Australian Control Conference, AUCC 2011 | Published : 2011

Abstract

Numerical solution of a class of deterministic optimal stopping problems is considered via a max-plus approach. This max-plus approach is developed via the formalization of an iterative representation for the associated value functions, based on dynamic programming arguments. An implementation issue specific to optimal stopping problems is identified and discussed. © 2011 ENGINEERS AUSTRALIA & AUSTRALIAN OPTICAL.

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