scholarly journals Dynamic Programming Approach for Discrete-Valued Time Discrete Optimal Control Problems with Dwell Time Constraints

2016 ◽  
pp. 159-168 ◽  
Author(s):  
Michael Burger ◽  
Matthias Gerdts ◽  
Simone Göttlich ◽  
Michael Herty
Keyword(s):  
Optimal Control ◽  
Dynamic Programming ◽  
Dwell Time ◽  
Optimal Control Problems ◽  
Time Constraints ◽  
Programming Approach ◽  
Control Problems ◽  
Dynamic Programming Approach ◽  
Discrete Optimal Control

A MIXED INTEGER DYNAMIC PROGRAMMING APPROACH TO A CLASS OF OPTIMAL CONTROL PROBLEMS IN HYBRID SYSTEMS

2006 ◽  
Vol 37 (5) ◽  
pp. 481-504 ◽  
Author(s):  
Nejib Ben Hadj-Alouane ◽  
Moez Yeddes ◽  
Atidel B. Hadj-Alouane ◽  
Feng Lin
Keyword(s):  
Optimal Control ◽  
Dynamic Programming ◽  
Hybrid Systems ◽  
Optimal Control Problems ◽  
Mixed Integer ◽  
Programming Approach ◽  
Control Problems ◽  
Dynamic Programming Approach

scholarly journals On the time discretization of stochastic optimal control problems: The dynamic programming approach

2019 ◽  
Vol 25 ◽  
pp. 63 ◽  
Author(s):  
Joseph Frédéric Bonnans ◽  
Justina Gianatti ◽  
Francisco J. Silva
Keyword(s):  
Optimal Control ◽  
Dynamic Programming ◽  
Discrete Time ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Time Discretization ◽  
Dynamic Programming Principle ◽  
Programming Approach ◽  
Control Problems ◽  
Discrete Problems

In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.

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