Optimal Control of Diffusion Processes with Terminal Constraint in Law

被引：0
|
作者：
Samuel Daudin
机构：
[1] PSL Research University,CEREMADE
[2] Université Paris-Dauphine,undefined
来源：
Journal of Optimization Theory and Applications | 2022年 / 195卷
关键词：
Stochastic control; Constraints in law; Hamilton–Jacobi–Bellman equation; Fokker–Planck equation; Mean field games; Minmax; Convex duality;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker–Planck equation and a backward Hamilton–Jacobi–Bellman equation are proved using convex duality techniques.
引用
收藏
页码：1 / 41
页数：40
相关论文
共 50 条
  • [1] Optimal Control of Diffusion Processes with Terminal Constraint in Law
    Daudin, Samuel
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2022, 195 (01) : 1 - 41
  • [2] A Nonlinear Optimal Guidance Law with Terminal Impact Angle Constraint
    She H.
    Yang S.
    Ni H.
    Baier H.
    [J]. International Journal of Computational Intelligence Systems, 2011, 4 (6) : 1319 - 1324
  • [3] A Nonlinear Optimal Guidance Law with Terminal Impact Angle Constraint
    She, Haoping
    Yang, Shuxing
    Ni, Hui
    Baier, Horst
    [J]. INTERNATIONAL JOURNAL OF COMPUTATIONAL INTELLIGENCE SYSTEMS, 2011, 4 (06) : 1319 - 1324
  • [4] Optimal pulsed guidance law with terminal impact angle constraint
    Liu, J. H.
    Shan, J. Y.
    Liu, Q.
    [J]. PROCEEDINGS OF THE INSTITUTION OF MECHANICAL ENGINEERS PART G-JOURNAL OF AEROSPACE ENGINEERING, 2017, 231 (11) : 1993 - 2005
  • [5] Optimal Linear Quadratic Guidance Law with Terminal Impact Angle Constraint
    Zhao Jianyu
    Yu Jianqiao
    Yang Kun
    [J]. 2017 29TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2017, : 7095 - 7098
  • [6] Optimal guidance law design for impact with terminal angle of attack constraint
    Zhang, Qingzhen
    Wang, Zhenbo
    Tao, Fei
    [J]. OPTIK, 2014, 125 (01): : 243 - 251
  • [7] OPTIMAL CONTROL PROBLEM WITH TERMINAL STATE CONSTRAINT ON TIME SCALES
    Zhan, Z. D.
    Wei, W.
    Li, Y. F.
    [J]. PACIFIC JOURNAL OF OPTIMIZATION, 2012, 8 (02): : 387 - 404
  • [8] Optimal Guidance Law to Maximize Terminal Velocity for Missiles with Impact Angle Constraint
    Chao Ming
    Ruisheng Sun
    Chuanjie Sun
    [J]. Journal of Harbin Institute of Technology., 2016, 23 (02) - 78
  • [9] Optimal guidance law of air to surface missile with terminal impact angle constraint
    Zhang, Sen
    Shang, Gen-Feng
    Wu, Cui-Sheng
    Zhang, Yuan-Heng
    [J]. DESIGN, MANUFACTURING AND MECHATRONICS (ICDMM 2015), 2016, : 440 - 448
  • [10] Optimal Guidance Law to Maximize Terminal Velocity for Missiles with Impact Angle Constraint
    Chao Ming
    Ruisheng Sun
    Chuanjie Sun
    [J]. Journal of Harbin Institute of Technology(New series), 2016, (02) : 72 - 78
12345