Optimal Switching in Finite Horizon under State Constraints

DOI10.1137/15M1012281zbMath1346.49038arXiv1405.3538OpenAlexW2951754247MaRDI QIDQ2818218

Idris Kharroubi

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3538

zbMATH Keywords

state constraintsvariational inequalitiesdynamic programmingcontrolled diffusionoptimal switchingresources management

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Optimality conditions for problems involving randomness (49K45)

Related Items

Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ On dynamic programming principle for stochastic control under expectation constraints ⋮ Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems ⋮ On the finite horizon optimal switching problem with random lag ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An LP approach to dynamic programming principles for stochastic control problems with state constraints
• A mixed singular/switching control problem for a dividend policy with reversible technology investment
• On the Moments of the Modulus of Continuity of Itô Processes
• Valuation of energy storage: an optimal switching approach
• A stochastic target formulation for optimal switching problems in finite horizon
• Optimal Control with State-Space Constraint I
• Optimal Control with State-Space Constraint. II
• User’s guide to viscosity solutions of second order partial differential equations
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
• Donsker-type theorem for BSDEs