Two approaches to constrained stochastic optimal control problems
Abstract: 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.
Keywords: Stochastic optimal control, expectation and probability constraints, dynamic programming, Lagrange relaxation.
Category 1: Stochastic Programming
Citation: SFB Report 2015-007, May 2015.
Entry Submitted: 05/12/2015
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