State-Constrained Stochastic Optimal Control Problems via Reachability Approach
نویسندگان
چکیده
منابع مشابه
State-Constrained Stochastic Optimal Control Problems via Reachability Approach
This paper deals with a class of stochastic optimal control problems (SOCP) in presence of state-constraints. It is well-known that for such problems the value function is, in general, discontinuous and its characterization by a Hamilton-Jacobi equation requires additional assumptions involving an interplay between the boundary of the set of constraints and the dynamics of the controlled system...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2016
ISSN: 0363-0129,1095-7138
DOI: 10.1137/15m1023737