Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

Axel Kröner; Athena Picarelli; Hasnaa Zidani

doi:10.1137/17m115253x

Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

SIAM Journal on Control and Optimization ◽

10.1137/17m115253x ◽

2018 ◽

Vol 56 (5) ◽

pp. 3296-3319 ◽

Cited By ~ 1

Author(s):

Axel Kröner ◽

Athena Picarelli ◽

Hasnaa Zidani

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Maximum Cost ◽

Running Maximum

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Analytic Solutions for Infinite Horizon Stochastic Optimal Control Problems via Finite Horizon Approximation: A Practical Guide

SSRN Electronic Journal ◽

10.2139/ssrn.1374216 ◽

2009 ◽

Cited By ~ 3

Author(s):

Christian-Oliver Ewald ◽

Wen-Kai Wang

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Analytic Solutions ◽

Finite Horizon ◽

Control Problems ◽

Practical Guide

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Neural approximations in discounted infinite-horizon stochastic optimal control problems

Engineering Applications of Artificial Intelligence ◽

10.1016/j.engappai.2018.07.004 ◽

2018 ◽

Vol 74 ◽

pp. 294-302 ◽

Cited By ~ 1

Author(s):

Giorgio Gnecco ◽

Marcello Sanguineti

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems

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Infinite Horizon Stochastic Optimal Control Problems with Degenerate Noise and Elliptic Equations in Hilbert Spaces

Applied Mathematics & Optimization ◽

10.1007/s00245-006-0864-3 ◽

2007 ◽

Vol 55 (3) ◽

pp. 285-326 ◽

Cited By ~ 9

Author(s):

Federica Masiero

Keyword(s):

Optimal Control ◽

Hilbert Spaces ◽

Stochastic Optimal Control ◽

Elliptic Equations ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Degenerate Noise

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Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide

Mathematical Social Sciences ◽

10.1016/j.mathsocsci.2011.03.001 ◽

2011 ◽

Vol 61 (3) ◽

pp. 146-151 ◽

Cited By ~ 4

Author(s):

Christian-Oliver Ewald ◽

Wen-Kai Wang

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Analytic Solutions ◽

Finite Horizon ◽

Control Problems ◽

Practical Guide

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An efficient numerical scheme for solving fractional infinite-horizon optimal control problems

ISA Transactions ◽

10.1016/j.isatra.2019.04.016 ◽

2019 ◽

Vol 94 ◽

pp. 108-118 ◽

Cited By ~ 6

Author(s):

Mina Yavari ◽

Alireza Nazemi

Keyword(s):

Optimal Control ◽

Numerical Scheme ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems

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On the class of infinite horizon optimal control problems affine, which are structurally stable

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.3730 ◽

2015 ◽

Vol 39 (11) ◽

pp. 2799-2807 ◽

Cited By ~ 1

Author(s):

M'hamed Kesri

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Structurally Stable

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Solving infinite-horizon optimal control problems of the time-delayed systems by Haar wavelet collocation method

Computational and Applied Mathematics ◽

10.1007/s40314-014-0184-1 ◽

2014 ◽

Vol 35 (1) ◽

pp. 97-117 ◽

Cited By ~ 4

Author(s):

Masoomeh Mansoori ◽

Alireza Nazemi

Keyword(s):

Optimal Control ◽

Collocation Method ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Haar Wavelet ◽

Control Problems ◽

Delayed Systems ◽

Wavelet Collocation Method

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Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems

Systems & Control Letters ◽

10.1016/j.sysconle.2011.10.003 ◽

2012 ◽

Vol 61 (1) ◽

pp. 143-147 ◽

Cited By ~ 2

Author(s):

J. Frédéric Bonnans ◽

Francisco J. Silva

Keyword(s):

Optimal Control ◽

Error Estimates ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Barrier Method ◽

Linear Quadratic ◽

Logarithmic Barrier

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An indirect pseudospectral method for the solution of linear-quadratic optimal control problems with infinite horizon

Optimization ◽

10.1080/02331934.2015.1014481 ◽

2015 ◽

Vol 65 (3) ◽

pp. 609-633 ◽

Cited By ~ 8

Author(s):

S. Pickenhain ◽

A. Burtchen ◽

K. Kolo ◽

V. Lykina

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Pseudospectral Method ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Multi-objective infinite horizon optimal control problems: characterization of the Pareto fronts and Pareto solutions

Computational and Applied Mathematics ◽

10.1007/s40314-021-01633-0 ◽

2021 ◽

Vol 40 (8) ◽

Author(s):

Ana Paula Chorobura

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Pareto Solutions ◽

Multi Objective ◽

Pareto Fronts

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