Parameter sensitivity in stochastic optimal control∗

DOI10.1080/17442508708833465zbMath0629.93079OpenAlexW2101002394MaRDI QIDQ3767242

Philip D. Loewen

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833465

zbMATH Keywords

nonsmooth analysisparameter sensitivitystochastic Bolza problem with constraintsstochastic Pontryagin maximum principle

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Sensitivity, stability, well-posedness (49K40) Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items

Sensitivity results in stochastic optimal control: A Lagrangian perspective, Qualitative properties of trajectories of control systems: a survey, Existence of Lagrange Multipliers under Gâteaux Differentiable Data with Applications to Stochastic Optimal Control Problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• On the approximation of optimal stochastic controls
• Stochastic calculus of variations and mechanics
• Existence results for optimal stochastic controls
• Optimization and nonsmooth analysis
• The Value Function in Optimal Control: Sensitivity, Controllability, and Time-Optimality
• Existence Theory for a Stochastic Bolza Problem
• The Generalized Gradient of a Marginal Function in Mathematical Programming
• Lagrange multipliers and subderivatives of optimal value functions in nonlinear programming
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems