AN ALGORITHM TO CONSTRUCT SUBSOLUTIONS OF CONVEX OPTIMAL CONTROL PROBLEMS

被引：0

作者：

Bet, Gianmarco ^{[1
]}

Fischer, Markus ^{[2
]}

机构：

[1] Univ Florence, Dept Math & Comp Sci Ulisse Dini, I-50134 Florence, Italy

[2] Univ Padua, Dept Math Tullio Levi Civita, I-35121 Padua, Italy

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2022年 / 60卷 / 05期

关键词：

deterministic/stochastic optimal control; Markov decision process; dynamic programming; discrete-time subsolution; STOCHASTIC-CONTROL PROBLEMS; SIMULATION; BSDES;

D O I：

10.1137/21M1402005

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We propose an algorithm that produces a nondecreasing sequence of subsolutions for a class of optimal control problems distinguished by the property that the associated Bellman operators preserve convexity. In addition to a theoretical discussion and proofs of convergence, numerical experiments are presented to illustrate the feasibility of the method.

引用

页码：2902 / 2926

页数：25

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