Two Approaches to Stochastic Optimal Control Problems with a Final-Time Expectation Constraint
Two Approaches to Stochastic Optimal Control Problems with a Final-Time Expectation Constraint
复制标题
具有最终时间期望约束的随机最优控制问题的两种方法
DOI：
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发表时间：
2016
影响因子：
1.8
通讯作者：
Laurent Pfeiffer
中科院分区：
文献类型：
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作者：
Laurent Pfeiffer
在本文中，我们研究并比较了两种解决最终状态有期望约束的随机最优控制问题的方法。这个框架包含了概率约束的情况。第一种方法基于动态规划原理，第二种方法使用拉格朗日松弛。在本文中，我们主要讨论离散时间问题，但所讨论的两种方法也可以应用于离散连续时间问题。
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. In this article, we focus on discrete-time problems, but the two discussed approaches can be applied to discretized continuous-time problems.