Two approaches to constrained stochastic optimal control problems

Published: 2015/05/12

Stochastic Programming dynamic programming, expectation and probability constraints, lagrange relaxation, stochastic optimal control Short URL: https://optimization-online.org/?p=13418

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.

Two approaches to constrained stochastic optimal control problems

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