Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
DOI10.1016/J.SYSCONLE.2011.10.003zbMATH Open1250.93118OpenAlexW2020748169MaRDI QIDQ450712FDOQ450712
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
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stochastic controllogarithmic barrierlinear quadratic problemsnon-negativity control constraintsstochastic minimum principle
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)
- Unique solvability of a singular stochastic control model for population management
- Asymptotic expansions for interior penalty solutions of control constrained linear-quadratic problems
- Modification of the confidence bar algorithm based on approximations of the main diagonal of the Hessian matrix for solving optimal control problems
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