Optimal control of stochastic sequences with constraints

DOI10.1080/07362999708809473MaRDI QIDQ4381690zbMATH OpenOpenAlexFDO

Authors A. B. Piunovskiy

Publication date 1 April 1998

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999708809473

zbMATH Keywords

discrete timeinequality constraintsoptimal control

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Review text

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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• Controlled random sequences: methods of convex analysis and problems with functional constraints
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• On Stochastic Evolution Equations with Stochastic Boundary Conditions
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