Weak Dynamic Programming for Generalized State Constraints - Archive ouverte HAL Accéder directement au contenu
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⟩
287 Consultations
165 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More