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Two approaches to constrained stochastic optimal control problems

Laurent Pfeiffer(laurent.pfeiffer***at***uni-graz.at)

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.

Download: [PDF]

Entry Submitted: 05/12/2015
Entry Accepted: 05/12/2015
Entry Last Modified: 05/12/2015

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