Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem

W. Grecksch; F. Heyde; Chr. Tammer

doi:10.1515/mcma.2000.6.3.175

Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem

Monte Carlo Methods and Applications ◽

10.1515/mcma.2000.6.3.175 ◽

2000 ◽

Vol 6 (3) ◽

Cited By ~ 1

Author(s):

W. Grecksch ◽

F. Heyde ◽

Chr. Tammer

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Proximal Point Algorithm ◽

Proximal Point ◽

Stochastic Optimal Control Problem

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Efficient Output Solution for Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

Prime Archives in Applied Mathematics ◽

10.37247/paam.1.2019.1-10 ◽

2019 ◽

pp. 1-10

Author(s):

Sie Long Kek ◽

Kok Lay Teo ◽

Mohd Ismail Abdul Aziz

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

Applied Mathematics-A Journal of Chinese Universities ◽

10.1007/s11766-014-3171-9 ◽

2014 ◽

Vol 29 (1) ◽

pp. 67-85 ◽

Cited By ~ 5

Author(s):

Na Li ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Lévy Processes ◽

Levy Processes ◽

Stochastic Optimal Control Problem

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A stochastic optimal control problem with feedback inputs

International Journal of Control ◽

10.1080/00207179.2020.1806360 ◽

2020 ◽

pp. 1-14

Author(s):

Ştefana-Lucia Aniţa

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Maximum principle for stochastic optimal control problem of forward-backward system with delay

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5400152 ◽

2009 ◽

Cited By ~ 4

Author(s):

Li Chen ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

System With Delay ◽

Stochastic Optimal Control Problem

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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Journal of Optimization Theory and Applications ◽

10.1007/s10957-019-01546-3 ◽

2019 ◽

Vol 183 (2) ◽

pp. 422-439

Author(s):

Hanwu Li ◽

Falei Wang

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Sublinear Expectation ◽

Stochastic Optimal Control Problem

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Asymptotic behavior of the Bellman function in a stochastic optimal control problem

Journal of Applied Mathematics and Mechanics ◽

10.1016/0021-8928(81)90032-0 ◽

1981 ◽

Vol 45 (2) ◽

pp. 179-183

Author(s):

A.I. Ovseevich

Keyword(s):

Optimal Control ◽

Asymptotic Behavior ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Bellman Function ◽

Stochastic Optimal Control Problem

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Infinite horizon nonstationary stochastic optimal control problem: A planning horizon result

IEEE Transactions on Automatic Control ◽

10.1109/tac.1984.1103671 ◽

1984 ◽

Vol 29 (9) ◽

pp. 836-837 ◽

Cited By ~ 13

Author(s):

J. Lasserre ◽

C. Bes

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Infinite Horizon ◽

Planning Horizon ◽

Stochastic Optimal Control Problem

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The solution of a partially observed stochastic optimal control problem in terms of predicted miss

10.1109/cdc.1990.204001 ◽

1990 ◽

Cited By ~ 3

Author(s):

K. Helmes ◽

R. Rishel

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Partially Observed ◽

Stochastic Optimal Control Problem

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Command to Line-of-Sight Guidance: A Stochastic Optimal Control Problem

Journal of Spacecraft and Rockets ◽

10.2514/3.57220 ◽

1977 ◽

Vol 14 (7) ◽

pp. 438-444 ◽

Cited By ~ 13

Author(s):

J.E. Kain ◽

D.J. Yost

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Line Of Sight ◽

Stochastic Optimal Control Problem

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Solution of the stochastic optimal control problem in the s-domain for systems with time delay

Proceedings of the Institution of Electrical Engineers ◽

10.1049/piee.1979.0155 ◽

1979 ◽

Vol 126 (7) ◽

pp. 697 ◽

Cited By ~ 6

Author(s):

M.J. Grimble

Keyword(s):

Optimal Control ◽

Time Delay ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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