Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion

DOI10.1134/S0005117918020017zbMath1391.93291OpenAlexW2789946640WikidataQ130169648 ScholiaQ130169648MaRDI QIDQ1642030

Yu. S. Kan, V. M. Azanov

Publication date: 20 June 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117918020017

zbMATH Keywords

discrete systemsdynamic programming methodoptimal stochastic controlprobabilistic criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (6)

Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On optimal retention of the trajectory of discrete stochastic system in tube ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

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