Optimality Issues for a Class of Controlled Singularly Perturbed Stochastic Systems - Archive ouverte HAL Access content directly
Journal Articles Journal of Optimization Theory and Applications Year : 2016

Optimality Issues for a Class of Controlled Singularly Perturbed Stochastic Systems

Dan Goreac
  • Function : Author
  • PersonId : 930178
PS

Abstract

The present paper aims at studying stochastic singularly perturbed control systems. We begin by recalling the linear (primal and dual) formulations for classical control problems. In this framework, we give necessary and sufficient support criteria for optimality of the measures intervening in these formulations. Motivated by these remarks, in a first step, we provide linearized formulations associated to the value function in the averaged dynamics setting. Second, these formulations are used to infer criteria allowing to identify the optimal trajectory of the averaged stochastic system.
Fichier principal
Vignette du fichier
GoreacSereaOptimalityStochPert_Rev1.pdf (236.87 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00987521 , version 1 (06-05-2014)
hal-00987521 , version 2 (27-07-2014)

Identifiers

Cite

Dan Goreac, Oana Silvia Serea. Optimality Issues for a Class of Controlled Singularly Perturbed Stochastic Systems. Journal of Optimization Theory and Applications, 2016, 168 (1), pp.22--52. ⟨10.1007/s10957-015-0738-4⟩. ⟨hal-00987521v2⟩
367 View
246 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More