Discontinuous control problems with state constraints: linear formulations and dynamic programming principles

DOI10.1016/j.jmaa.2012.12.043zbMath1260.93074OpenAlexW2062538499MaRDI QIDQ1947325

Carina Ivaşcu, Dan Goreac

Publication date: 22 April 2013

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.12.043

zbMATH Keywords

linear programmingHamilton-Jacobi equationsdynamic programming principlecontrol under state constraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Linearizations (93B18) Duality theory (optimization) (49N15) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (3)

Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms ⋮ Existence of asymptotic values for nonexpansive stochastic control systems

Cites Work

• Unnamed Item
• Mayer and optimal stopping stochastic control problems with discontinuous cost
• Stochastic optimal control and linear programming approach
• The problem of optimal control with reflection studied through a linear optimization problem stated on occupational measures
• Discontinuous control problems for non-convex dynamics and near viability for singularly perturbed control systems
• Limit occupational measures set for a control system and averaging of singularity perturbed control systems
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Existence of neighboring feasible trajectories: applications to dynamic programming for state-constrained optimal control problems
• Linear programming solutions of periodic optimization problems: approximation of the optimal control
• Averaging of singularly perturbed controlled stochastic differential equations
• Value-functions for Differential Games and Control Systems with Discontinuous Terminal Cost
• Viability Solutions to Structured Hamilton–Jacobi Equations under Constraints
• Linearization techniques for $\mathbb{L}^{\infty}$-control problems and dynamic programming principles in classical and $\mathbb{L}^{\infty}$-control problems
• Linear Programming Approach to Deterministic Long Run Average Problems of Optimal Control
• Convex Duality Approach to the Optimal Control of Diffusions
• Hamilton-Jacobi Equations with State Constraints
• Linear Programming Approach to Deterministic Infinite Horizon Optimal Control Problems with Discounting
• Optimal Control with State-Space Constraint I
• Relaxation of Constrained Control Problems
• Relaxation of Control Systems Under State Constraints
• On a Representation of the Limit Occupational Measures Set of a Control System with Applications to Singularly Perturbed Control Systems
• Multiscale Singularly Perturbed Control Systems: Limit Occupational Measures Sets and Averaging
• On Nonlinear Optimal Control Problems with State Constraints
• Set-valued analysis

This page was built for publication: Discontinuous control problems with state constraints: linear formulations and dynamic programming principles