Optimal control of stochastic sequences with constraints (Q4381690)
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scientific article; zbMATH DE number 1136540
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| English | Optimal control of stochastic sequences with constraints |
scientific article; zbMATH DE number 1136540 |
Statements
Optimal control of stochastic sequences with constraints (English)
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1 April 1998
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discrete time
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optimal control
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inequality constraints
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0.9776009
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0.97551256
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0.9414019
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0.9310586
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An optimal control problem is considered for random sequences where there are inequality constraints. Necessary and sufficient optimality conditions are given together with an algorithm to construct the control policy that is optimal. A couple of examples are given in which the optimal solutions are found in closed form.
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