Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function

DOI10.1134/S0005117920100033MaRDI QIDQ828510zbMATH OpenOpenAlexFDO

Authors V. M. Azanov, A. N. Tarasov

Publication date 9 January 2021

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

Full work available at URL https://doi.org/10.1134/s0005117920100033

zbMATH Keywords

dynamic programmingdiscrete-time systemsstochastic optimal controlBellman functioninverted pendulumprobabilistic criterion

Mathematics Subject Classification ID

Dynamic programming (90C39) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• 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
• Design of optimal strategies in the problems of discrete system control by the probabilistic criterion
• On optimal retention of the trajectory of discrete stochastic system in tube
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
• One-parameter optimal correction problem for the trajectory of an aerial vehicle with respect to the probability criterion
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal control of the portfolio
• Positional strategy of forming the investment portfolio
• Problems in stochastic programming with probabilistic criteria
• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Semidefinite programming for chance constrained optimization over semialgebraic sets
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion

Cited in

(4)

• Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement
• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
• On optimal retention of the trajectory of discrete stochastic system in tube

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