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
相关论文
共 50 条
  • [31] Globally optimal reactor network synthesis via the combination of linear programming and stochastic optimization approach
    Jin, Siyi
    Li, Xuewen
    Tao, Shaohui
    [J]. CHEMICAL ENGINEERING RESEARCH & DESIGN, 2012, 90 (06): : 808 - 813
  • [32] Optimal information disclosure: A linear programming approach
    Kolotilin, Anton
    [J]. THEORETICAL ECONOMICS, 2018, 13 (02): : 607 - 635
  • [33] A Multistage Stochastic Programming Approach to the Optimal Surveillance and Control of the Emerald Ash Borer in Cities
    Kibis, Eyyub Y.
    Buyuktahtakin, I. Esra
    Haight, Robert G.
    Akhundov, Najmaddin
    Knight, Kathleen
    Flower, Charles E.
    [J]. INFORMS JOURNAL ON COMPUTING, 2021, 33 (02) : 808 - 834
  • [34] Linear programming approach for optimal forest plantation
    Zohreh Mohammadi
    Soleiman Mohammadi Limaei
    Taymour Rostami Shahraji
    [J]. Journal of Forestry Research, 2017, 28 : 299 - 307
  • [35] Linear programming approach for optimal forest plantation
    Zohreh Mohammadi
    Soleiman Mohammadi Limaei
    Taymour Rostami Shahraji
    [J]. Journal of Forestry Research, 2017, 28 (02) : 299 - 307
  • [36] Linear programming approach for optimal forest plantation
    Mohammadi, Zohreh
    Limaei, Soleiman Mohammadi
    Shahraji, Taymour Rostami
    [J]. JOURNAL OF FORESTRY RESEARCH, 2017, 28 (02) : 299 - 307
  • [37] Singular optimal control for stochastic linear quadratic singular system using ant colony programming
    Kumaresan, N.
    Balasubramaniam, P.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2010, 87 (14) : 3311 - 3327
  • [38] Optimal structural design under stochastic uncertainty by stochastic linear programming methods
    Marti, K
    [J]. SAFETY AND RELIABILITY, VOLS 1 & 2, 1999, : 9 - 15
  • [39] Optimal structural design under stochastic uncertainty by stochastic linear programming methods
    Marti, K
    [J]. RELIABILITY ENGINEERING & SYSTEM SAFETY, 2001, 72 (02) : 165 - 177
  • [40] RISK-SENSITIVE APPROACH TO OPTIMAL FILTERING AND CONTROL FOR LINEAR STOCHASTIC SYSTEMS
    Aracelia Alcorta-Garcia, Ma.
    Basin, Michael
    Acosta Sanchez, Yazmin Gpe
    [J]. INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL, 2009, 5 (06): : 1599 - 1613
12345