论文信息 - Deterministic optimal stopping via a max-plus method

Deterministic optimal stopping via a max-plus method

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.

Huan Zhang | Peter M. Dower

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