Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control

被引：0
|
作者：
Engel John C. Dela Vega
Harry Zheng
机构：
[1] Imperial College,Department of Mathematics
来源：
Journal of Optimization Theory and Applications | 2023年 / 199卷
关键词：
Linear convex stochastic control; Random coefficients; Control constraints; Nondifferentiable objective function; Dual stochastic maximum principle; Primal–dual relation; 93E20; 49N05; 49N15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and illustrate the usefulness of the dual approach with some examples.
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页码：80 / 111
页数：31
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