FIRST-ORDER PONTRYAGIN MAXIMUM PRINCIPLE FOR RISK-AVERSE STOCHASTIC OPTIMAL CONTROL PROBLEMS*

被引：6

作者：

Bonalli, Riccardo ^{[1
]}

Bonnet, Benoit ^{[2
]}

机构：

[1] Univ Paris Saclay, CNRS, CtrSupelec, Lab Signaux & Syst, 3 Rue Joliot Curie, F-91190 Gif Sur Yvette, France

[2] Univ Toulouse, LAAS CNRS, CNRS, 7 Ave Colonel Roche, F-31400 Toulouse, France

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2023年 / 61卷 / 03期

关键词：

risk-averse stochastic optimal control; Pontryagin maximum principle; first-order stochastic necessary optimality conditions; set-valued analysis;

D O I：

10.1137/22M1489137

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints whose costs are general, possibly nonsmooth finite coherent risk measures. Unlike preexisting contributions covering this situation, our analysis holds for classical stochastic differential equations driven by standard Brownian motions. In addition, it presents the advantages of neither involving second-order adjoint equations nor leading to the so-called weak version of the Pontryagin maximum principle, in which the maximization condition with respect to the control variable is replaced by the stationarity of the Hamiltonian.

引用

页码：1881 / 1909

页数：29

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