A Carleman approximation scheme for a stochastic optimal control problem in the continuous-time framework

IFAC Proceedings Volumes ◽

10.3182/20080706-5-kr-1001.01355 ◽

2008 ◽

Vol 41 (2) ◽

pp. 8027-8032

Author(s):

Gabriella Mavelli ◽

Pasquale Palumbo

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Continuous Time ◽

Stochastic Optimal Control ◽

Approximation Scheme ◽

Carleman Approximation ◽

Stochastic Optimal Control Problem

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A Matlab Package for Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem

SSRN Electronic Journal ◽

10.2139/ssrn.73968 ◽

1998 ◽

Author(s):

Alistair Windsor ◽

Jacek B. Krawczyk

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Continuous Time ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem ◽

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On the Convergence of an Approximation Scheme for the Viscosity Solutions of the Bellman Equation Arising in a Stochastic Optimal Control Problem

Annals of the Alexandru Ioan Cuza University - Mathematics ◽

10.2478/v10157-010-0027-3 ◽

2010 ◽

Vol 56 (1) ◽

Author(s):

Teodor Havârneanu

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Viscosity Solutions ◽

Stochastic Optimal Control ◽

Bellman Equation ◽

Approximation Scheme ◽

Stochastic Optimal Control Problem

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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) ◽

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 ◽

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 ◽

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 ◽

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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