Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion

DOI10.1134/S0005117918020017MaRDI QIDQ1642030zbMATH OpenOpenAlexWikidataFDO

Authors V. M. Azanov, Yu. S. Kan

Publication date 20 June 2018

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117918020017

zbMATH Keywords

discrete systemsdynamic programming methodoptimal stochastic controlprobabilistic criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cites work

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Cited in

(8)

• Bellman functions in the optimization of dynamic systems under uncertainty
• Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
• On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
• On optimal retention of the trajectory of discrete stochastic system in tube
• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• scientific article; zbMATH DE number 1237845 (Why is no real title available?)
• Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function

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