Dynamics aggregation in stochastic control problems

Research output: Contribution to journalArticlepeer-review

Abstract

For stochastic control problems with mixed state-control constraints, we develop a dynamics aggregation method which replaces the stochastic differential or difference equation with a simpler constraint. Solutions of such simplified problems are used to construct a sequence of approximations to the original problem. Convergence properties of the method for both discrete-time and continuous-time models are analyzed in detail.

Original languageEnglish (US)
Pages (from-to)639-658
Number of pages20
JournalJournal of Optimization Theory and Applications
Volume105
Issue number3
DOIs
StatePublished - Jun 2000

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

Keywords

  • Constraint aggregation
  • State-control constraints
  • Stochastic control
  • Vector space methods

Fingerprint Dive into the research topics of 'Dynamics aggregation in stochastic control problems'. Together they form a unique fingerprint.

Cite this