Design of optimal strategies in the problems of discrete system control by the probabilistic criterion

DOI10.1134/S0005117917060042zbMath1370.93314OpenAlexW2622730053MaRDI QIDQ2401031

V. M. Azanov, Yu. S. Kan

Publication date: 31 August 2017

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

Full work available at URL: https://doi.org/10.1134/s0005117917060042

zbMATH Keywords

discrete systemsstochastic optimal controlprobabilistic criterionmethod of dynamic programming

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (8)

Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems ⋮ 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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