Hernández-Lerma, O.; Piovesan, C.; Runggaldier, W. J. Numerical aspects of monotone approximations in convex stochastic control problems. (English) Zbl 0832.93062 Ann. Oper. Res. 56, 135-156 (1995). In an earlier article by the first and third authors [J. Math. Syst. Estim. Control 4, 99-140 (1994; Zbl 0812.93078)] an approximation technique is described for convex, discrete time stochastic control problems. Here, the accuracy of these techniques is tested on the linear quadratic control problem and on an inventory control problem. Reviewer: M.Kohlmann (Bonn) Cited in 4 Documents MSC: 93E20 Optimal stochastic control Keywords:approximation; convex; discrete time; stochastic control; linear quadratic Citations:Zbl 0812.93078 PDFBibTeX XMLCite \textit{O. Hernández-Lerma} et al., Ann. Oper. Res. 56, 135--156 (1995; Zbl 0832.93062) Full Text: DOI References: [1] D.P. Bertsekas,Dynamic Programming: Deterministic and Stochastic Models (Prentice Hall, Englewood Cliffs, 1987). · Zbl 0649.93001 [2] J.R. Birge and R.J.-B. Wets, Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse, Math. Progr. 27 (1986) 54–102. · Zbl 0603.90104 [3] O. Hernández-Lerma and W.J. Runggaldier, Monotone approximations for convex stochastic control problems, J. Math. Syst., Estimation and Control 4 (1994) 99–140. · Zbl 0812.93078 [4] C. Huang, W.T. Ziemba and A. Ben-Tal, Bounds on the expectation of a convex function of a random variable: with application to stochastic programming, Oper. Res. 25 (1977) 315–325. · Zbl 0362.62014 · doi:10.1287/opre.25.2.315 [5] P. Kall and D. Stoyan, Solving programming problems with recourse including error bound, Math. Oper. Statist., Ser. Opt. 13 (1982) 431–447. · Zbl 0507.90067 [6] P. Kall, A. Ruszczynski and K. Frauendorfer, Approximation techniques in stochastic programming, in:Numerical Techniques for Stochastic Optimizations, eds. Yu. Ermoliev and R.J.-B. Wets (Springer, Berlin, 1988). · Zbl 0665.90067 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.