Convexity and convex approximations of discrete-time stochastic control problems with constraints

Eugenio Cinquemani; Mayank Agarwal; Debasish Chatterjee; John Lygeros

doi:10.1016/j.automatica.2011.01.023

Convexity and convex approximations of discrete-time stochastic control problems with constraints

Automatica ◽

10.1016/j.automatica.2011.01.023 ◽

2011 ◽

Vol 47 (9) ◽

pp. 2082-2087 ◽

Cited By ~ 51

Author(s):

Eugenio Cinquemani ◽

Mayank Agarwal ◽

Debasish Chatterjee ◽

John Lygeros

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Convex Approximations

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Approximations for discrete-time partially observable stochastic control problems

Lecture Notes in Control and Information Sciences - Filtering and Control of Random Processes ◽

10.1007/bfb0006563 ◽

1984 ◽

pp. 61-75

Author(s):

Giovanni B. Di Masi ◽

Wolfgang J. Runggaldier

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Partially Observable

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Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Mathematical Methods of Operations Research ◽

10.1007/s00186-014-0488-3 ◽

2014 ◽

Vol 81 (1) ◽

pp. 109-135 ◽

Cited By ~ 4

Author(s):

Lajos Gergely Gyurkó ◽

Ben M. Hambly ◽

Jan Hendrik Witte

Keyword(s):

Monte Carlo ◽

Stochastic Control ◽

Discrete Time ◽

Monte Carlo Methods ◽

Control Problems ◽

Dual Approach ◽

Stochastic Control Problems

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Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

Applied Mathematics & Optimization ◽

10.1007/bf01443619 ◽

1988 ◽

Vol 18 (1) ◽

pp. 143-161 ◽

Cited By ~ 2

Author(s):

Francesca Albertini ◽

Wolfgang J. Runggaldier

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Finite Horizon ◽

Control Problems ◽

Stochastic Control Problems

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An Approach to Discrete-Time Stochastic Control Problems under Partial Observation

SIAM Journal on Control and Optimization ◽

10.1137/0325003 ◽

1987 ◽

Vol 25 (1) ◽

pp. 38-48 ◽

Cited By ~ 10

Author(s):

Giovanni B. Di Masi ◽

Wolfgang J. Runggaldier

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Control Problems ◽

Partial Observation ◽

Stochastic Control Problems

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Large Deviation Limit for Discrete-Time, Totally Observed Stochastic Control Problems with Multiplicative Cost

Applied Mathematics & Optimization ◽

10.1007/s002459900046 ◽

1997 ◽

Vol 35 (2) ◽

pp. 221-235 ◽

Cited By ~ 1

Author(s):

P. Dai Pra

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Large Deviation ◽

Control Problems ◽

Stochastic Control Problems

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Discrete-time probabilistic approximation of path-dependent stochastic control problems

The Annals of Applied Probability ◽

10.1214/13-aap963 ◽

2014 ◽

Vol 24 (5) ◽

pp. 1803-1834 ◽

Cited By ~ 4

Author(s):

Xiaolu Tan

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Probabilistic Approximation ◽

Path Dependent

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On approximations to discrete-time stochastic control problems

Lecture Notes in Control and Information Sciences - Stochastic Optimization ◽

10.1007/bfb0007091 ◽

1986 ◽

pp. 136-147

Author(s):

G. B. Di Masi ◽

W. J. Runggaldier ◽

F. Chiariello

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Control Problems ◽

Stochastic Control Problems

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Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost

Applied Mathematics & Optimization ◽

10.1007/bf02683329 ◽

1997 ◽

Vol 35 (2) ◽

pp. 221-235

Author(s):

P. Dai Pra ◽

C. Rudari

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Large Deviation ◽

Control Problems ◽

Stochastic Control Problems

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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