Non-compact-valued stochastic control under state constraints
نویسندگان
چکیده
منابع مشابه
Methods for Stochastic Optimal Control under State Constraints
This thesis looks at a few different approaches to solving stochastic optimal control problems with state constraints. The motivating problem is optimal control of an energy buffer in a hybrid vehicle, although applications are abundant in a number of areas. Stochastic optimal control problems can be solved via the socalled Hamilton-Jacobi-Bellman (HJB) equation. State constraints result in bou...
متن کاملOptimal Control under State Constraints
Optimal control under state constraints has brought new mathematical challenges that have led to new techniques and new theories. We survey some recent results related to issues of regularity of optimal trajectories, optimal controls and the value function, and discuss optimal synthesis and necessary optimality conditions. We also show how abstract inverse mapping theorems of set-valued analysi...
متن کاملOptimal Control under Stochastic Target Constraints
We study a class of Markovian optimal stochastic control problems in which the controlled process Z is constrained to satisfy an a.s. constraint Z(T ) ∈ G ⊂ R P − a.s. at some final time T > 0. When the set is of the form G := {(x, y) ∈ R × R : g(x, y) ≥ 0}, with g non-decreasing in y, we provide a Hamilton-Jacobi-Bellman characterization of the associated value function. It gives rise to a sta...
متن کاملMinimax Nonlinear Control under Stochastic Uncertainty Constraints
We consider in this paper a class of stochastic nonlinear systems in strict feedback form, where in addition to the standard Wiener process there is a norm-bounded unknown disturbance driving the system. The bound on the disturbance is in the form of an upper bound on its power in terms of the power of the output. Within this structure, we seek a minimax state-feedback controller, namely one th...
متن کاملOptimal Control Under State-Action-Frequency Constraints
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time, and c) constraints on the frequency spectrum of the optimal control trajectories. While the first two types of constraints are already included in the existi...
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: Bulletin des Sciences Mathématiques
سال: 2007
ISSN: 0007-4497
DOI: 10.1016/j.bulsci.2006.08.001