Optimality conditions in variational form for non-linear constrained stochastic control problems
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Publication:827552
DOI10.3934/MCRF.2020008zbMATH Open1452.90230arXiv1802.03965OpenAlexW2996313021WikidataQ126412852 ScholiaQ126412852MaRDI QIDQ827552FDOQ827552
Authors: Laurent Pfeiffer 
Publication date: 13 January 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Abstract: Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the probability distribution of the state variable at the final time. The analysis uses in an essential manner a convexity property of the set of reachable probability distributions. An augmented Lagrangian method based on the obtained optimality conditions is proposed and analyzed for solving iteratively the problem. At each iteration of the method, a standard stochastic optimal control problem is solved by dynamic programming. Two academical examples are investigated.
Full work available at URL: https://arxiv.org/abs/1802.03965
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optimality conditionsstochastic optimal controlrelaxationaugmented Lagrangian methodmean-field-type control
Stochastic programming (90C15) Set-valued and variational analysis (49J53) Optimality conditions (49K99) Optimal stochastic control (93E20)
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Cited In (5)
- Efficient constrained optimization: From the deterministic past to the stochastic future
- Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints
- Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
- Discrete-time mean field games with risk-averse agents
- Optimal control of diffusion processes with terminal constraint in law
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