Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems

DOI10.1016/J.SYSCONLE.2011.10.003MaRDI QIDQ450712zbMATHOpenAlexFDO

Authors Francisco J. Silva, J. Frédéric Bonnans

Publication date 14 September 2012

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2011.10.003

zbMATH Keywords

stochastic controllogarithmic barrierlinear quadratic problemsnon-negativity control constraintsstochastic minimum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cited in

(3)

• Modification of the confidence bar algorithm based on approximations of the main diagonal of the Hessian matrix for solving optimal control problems
• Asymptotic expansions for interior penalty solutions of control constrained linear-quadratic problems
• Unique solvability of a singular stochastic control model for population management

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