Weak Dynamic Programming for Generalized State Constraints - Archive ouverte HAL
Article Dans Une Revue SIAM Journal on Control and Optimization Année : 2012

Weak Dynamic Programming for Generalized State Constraints

Résumé

We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of expectation constraints and prove a comparison theorem to obtain the equation for closed state constraints.
Fichier principal
Vignette du fichier
weakDPP.pdf (457.75 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00590874 , version 1 (05-05-2011)

Identifiants

Citer

Bruno Bouchard, Marcel Nutz. Weak Dynamic Programming for Generalized State Constraints. SIAM Journal on Control and Optimization, 2012, 50 (6), pp.3344-3373. ⟨10.1137/110852942⟩. ⟨hal-00590874⟩
292 Consultations
180 Téléchargements

Altmetric

Partager

More