Stochastic Optimal Control and Linear Programming Approach

被引：0
|
作者：
R. Buckdahn
D. Goreac
M. Quincampoix
机构：
[1] Université de Bretagne Occidentale,Laboratoire de Mathématiques, unité CNRS 6205
[2] Laboratoire d’Analyse et de Mathématiques Appliquées,Université Paris
来源：
Applied Mathematics & Optimization | 2011年 / 63卷
关键词：
Linear programming; Stochastic control under constraints; Occupational measures; Viscosity solutions; Long-time averaging;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study a classical stochastic optimal control problem with constraints and discounted payoff in an infinite horizon setting. The main result of the present paper lies in the fact that this optimal control problem is shown to have the same value as a linear optimization problem stated on some appropriate space of probability measures. This enables one to derive a dual formulation that appears to be strongly connected to the notion of (viscosity sub) solution to a suitable Hamilton-Jacobi-Bellman equation. We also discuss relation with long-time average problems.
引用
收藏
页码：257 / 276
页数：19
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