On the infinite time solution to state-constrained stochastic optimal control problems

DOI10.1016/J.AUTOMATICA.2007.10.018zbMath1149.93351OpenAlexW1996743636MaRDI QIDQ958273

Per Rutquist, Claes Breitholtz, Torsten Wik

Publication date: 3 December 2008

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2007.10.018

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (3)

Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds ⋮ On the infinite time solution to state-constrained stochastic optimal control problems ⋮ A stochastic optimal regulator for a class of nonlinear systems

Cites Work

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• On the infinite time solution to state-constrained stochastic optimal control problems
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal state estimation in high noise
• The explicit linear quadratic regulator for constrained systems

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