Girsanov functionals and optimal bang-bang laws for final value stochastic control
نویسندگان
چکیده
منابع مشابه
Adaptive regularization and discretization of bang-bang optimal control problems
In the article, Tikhonov regularization of control-constrained optimal control problems is investigated. Typically the solutions of such problems exhibit a so-called bang-bang structure. We develop a parameter choice rule that adaptively selects the Tikhonov regularization parameter depending on a-posteriori computable quantities. We prove that this choice leads to optimal convergence rates wit...
متن کاملSolution of Bang-Bang Optimal Control Problems by Using Bezier Polynomials
In this paper, a new numerical method is presented for solving the optimal control problems of Bang-Bang type with free or fixed terminal time. The method is based on Bezier polynomials which are presented in any interval as $[t_0,t_f]$. The problems are reduced to a constrained problems which can be solved by using Lagrangian method. The constraints of these problems are terminal state and con...
متن کاملSensitivity Analysis of Optimal Control Problems with Bang–Bang Controls
We study bang–bang control problems that depend on a parameter p. For a fixed nominal parameter p0, it is assumed that the bang-bang control has finitely many switching points and satisfies second order sufficient conditions (SSC). SSC are formulated and checked in terms of an associated finitedimensional optimization problem w.r.t. the switching points and the free final time. We show that the...
متن کاملUsing Modified IPSO-SQP Algorithm to Solve Nonlinear Time Optimal Bang-Bang Control Problem
In this paper, an intelligent-gradient based algorithm is proposed to solve time optimal bang-bang control problem. The proposed algorithm is a combination of an intelligent algorithm called improved particle swarm optimization algorithm (IPSO) in the first stage of optimization process together with a gradient-based algorithm called successive quadratic programming method (SQP) in the second s...
متن کاملSufficient Conditions and Sensitivity Analysis for Optimal Bang-Bang Control Problems with State Constraints
Bang-bang control problems subject to a state inequality constraint are considered. It is shown that the control problem induces an optimization problem, where the optimization vector assembles the switching and junction times for bangbang and boundary arcs. Second order sufficient conditions (SSC) for the stateconstrained control problem are given which require that SSC for the induced optimiz...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1974
ISSN: 0304-4149
DOI: 10.1016/0304-4149(74)90022-2