An Optimal Control Problem with Terminal Stochastic Linear Complementarity Constraints
DOI10.1137/22m151594xzbMath1527.49003arXiv2208.07516OpenAlexW4388668352MaRDI QIDQ6071809
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Publication date: 29 November 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.07516
convergence analysissample average approximationimplicit Euler time-steppingODE constrained optimal control problemstochastic linear complementarity problem (LCP)
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Linear-quadratic optimal control problems (49N10) Methods involving semicontinuity and convergence; relaxation (49J45) Existence theories for optimal control problems involving ordinary differential equations (49J15) Discrete approximations in optimal control (49M25)
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