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

DOI10.1016/j.sysconle.2011.10.003zbMath1250.93118OpenAlexW2020748169MaRDI QIDQ450712

Francisco J. Silva, Joseph Frédéric Bonnans

Publication date: 14 September 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2011.10.003

zbMATH Keywords

stochastic controllogarithmic barrierlinear quadratic problemsnon-negativity control constraintsstochastic minimum principle

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

Unique solvability of a singular stochastic control model for population management ⋮ Asymptotic expansions for interior penalty solutions of control constrained linear-quadratic problems

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