Pontryagin's principle for some probabilistic control problems

DOI10.1007/S00245-024-10151-4MaRDI QIDQ6589680FDOQ6589680

Authors: Wim van Ackooij, René Henrion, Hasnaa Zidani 

Publication date: 20 August 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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zbMATH Keywords

chance constraintsoptimal control problemsrobust controlPontryagin maximum principleprobabilistic cost

Mathematics Subject Classification ID

Stochastic programming (90C15) Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving randomness (49K45) Stochastic systems in control theory (general) (93E03)

Cites Work

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Cited In (3)

• Probabilistic control and majorisation of optimal control
• First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
• Numerical solution of an optimal control problem with probabilistic and almost sure state constraints

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