Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement

DOI10.1134/s000511792301006xzbMath1521.93208MaRDI QIDQ6094341

V. M. Azanov, A. I. Kibzun, A. N. Tarasov

Publication date: 13 September 2023

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

zbMATH Keywords

dynamic programmingdiscrete-time systemsstochastic optimal controlunbounded controlBellman functiontime-invariant systemsprobabilistic criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Stochastic viability and dynamic programming
• Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
• Construction of confidence absorbing set for analysis of static stochastic systems
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• Control optimization by the quantile criterion
• Optimal control of the investment portfolio with respect to the quantile 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
• Lagrangian methods for approximating the viability kernel in high-dimensional systems
• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Design of optimal strategies in the problems of discrete system control by the probabilistic criterion
• Stochastic reachability of a target tube: theory and computation
• Probabilistic Reach-Avoid Computation for Partially Degenerate Stochastic Processes
• The Moment Problem
• Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets

This page was built for publication: Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement