Optimal Switching in Finite Horizon under State Constraints

DOI10.1137/15M1012281zbMath1346.49038arXiv1405.3538OpenAlexW2951754247MaRDI QIDQ2818218

Idris Kharroubi

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3538

zbMATH Keywords

state constraintsvariational inequalitiesdynamic programmingcontrolled diffusionoptimal switchingresources management

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Optimality conditions for problems involving randomness (49K45)

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