Computable Primal and Dual Bounds for Stochastic Control

DOI10.1137/18M1232231zbMath1454.93295OpenAlexW3113226948MaRDI QIDQ5139676

Reiichiro Kawai, Chunxi Jiao

Publication date: 10 December 2020

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

Full work available at URL: https://doi.org/10.1137/18m1232231

zbMATH Keywords

momentslinear programmingstochastic controldualitypolynomials

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Linear programming (90C05) Optimal stochastic control (93E20)

Uses Software

• GloptiPoly
• YALMIP
• Mosek
• Robotics

Cites Work

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