Two approaches to constrained stochastic optimal control problems
نویسنده
چکیده
In this article, we study and compare two approaches to solving stochastic optimal control problems with an expectation constraint on the final state. The case of a probability constraint is included in this framework. The first approach is based on a dynamic programming principle and the second one uses Lagrange relaxation. These approaches can be used for continuous-time problems; we provide numerical results for an academic example.
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تاریخ انتشار 2015