Two approaches to stochastic optimal control problems with a final-time expectation constraint

DOI10.1007/S00245-016-9378-9MaRDI QIDQ1754665zbMATH OpenOpenAlexFDO

Authors Laurent Pfeiffer

Publication date 31 May 2018

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

Full work available at URL https://doi.org/10.1007/s00245-016-9378-9

zbMATH Keywords

dynamic programmingexpectation and probability constraintsLagrange relaxationstochastic optimal control

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cites work

• An approximation scheme for the optimal control of diffusion processes
• Convex Analysis
• Convexity of chance constraints with independent random variables
• Gradient-based simulation optimization under probability constraints
• scientific article; zbMATH DE number 477581 (Why is no real title available?)
• scientific article; zbMATH DE number 2084780 (Why is no real title available?)
• Lectures on Stochastic Programming
• Numerical Methods for Stochastic Control Problems in Continuous Time
• On the connectedness of probabilistic constraint sets
• Optimal control under stochastic target constraints
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Stochastic differential equations. An introduction with applications.
• Stochastic target problems with controlled loss

Cited in

(12)

• Stochastic control with exit time and constraints, application to small time attainability of sets
• Space mapping-based receding horizon control for stochastic interacting particle systems: dogs herding sheep
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• On dynamic programming principle for stochastic control under expectation constraints
• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• Approximating infinite horizon stochastic optimal control in discrete time with constraints
• Duality and approximation of stochastic optimal control problems under expectation constraints
• Pathwise Stochastic Optimal Control
• Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
• Theoretical guarantees for satisfaction of terminal state constraints for nonlinear stochastic systems
• Optimality and robustness in path-planning under initial uncertainty
• Optimality conditions in variational form for non-linear constrained stochastic control problems

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