On the time discretization of stochastic optimal control problems: The dynamic programming approach

Autores
Joseph Frédéric, Bonnans; Gianatti, Justina; Silva, Francisco J.
Año de publicación
2019
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.
Fil: Joseph Frédéric, Bonnans. Institut National de Recherche en Informatique et en Automatique; Francia. Centre National de la Recherche Scientifique; Francia. Université Paris-Saclay; Francia
Fil: Gianatti, Justina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas. Universidad Nacional de Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas; Argentina
Fil: Silva, Francisco J.. Centre National de la Recherche Scientifique; Francia. Universite de Limoges; Francia
Materia
DISCRETE TIME SYSTEMS
DYNAMIC PROGRAMMING PRINCIPLE
FEEDBACK CONTROL
STOCHASTIC CONTROL
VALUE FUNCTION
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/121755
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/121755
network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling On the time discretization of stochastic optimal control problems: The dynamic programming approachJoseph Frédéric, BonnansGianatti, JustinaSilva, Francisco J.DISCRETE TIME SYSTEMSDYNAMIC PROGRAMMING PRINCIPLEFEEDBACK CONTROLSTOCHASTIC CONTROLVALUE FUNCTIONhttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.Fil: Joseph Frédéric, Bonnans. Institut National de Recherche en Informatique et en Automatique; Francia. Centre National de la Recherche Scientifique; Francia. Université Paris-Saclay; FranciaFil: Gianatti, Justina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas. Universidad Nacional de Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas; ArgentinaFil: Silva, Francisco J.. Centre National de la Recherche Scientifique; Francia. Universite de Limoges; FranciaEDP Sciences2019-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/121755Joseph Frédéric, Bonnans; Gianatti, Justina; Silva, Francisco J.; On the time discretization of stochastic optimal control problems: The dynamic programming approach; EDP Sciences; ESAIM-Control Optimisation and Calculus of Variations; 25; 10-2019; 1-281262-3377CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1051/cocv/2018045info:eu-repo/semantics/altIdentifier/url/https://www.esaim-cocv.org/articles/cocv/abs/2019/01/cocv170067/cocv170067.htmlinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:36:52Zoai:ri.conicet.gov.ar:11336/121755instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:36:52.411CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv On the time discretization of stochastic optimal control problems: The dynamic programming approach
title On the time discretization of stochastic optimal control problems: The dynamic programming approach
spellingShingle On the time discretization of stochastic optimal control problems: The dynamic programming approach
Joseph Frédéric, Bonnans
DISCRETE TIME SYSTEMS
DYNAMIC PROGRAMMING PRINCIPLE
FEEDBACK CONTROL
STOCHASTIC CONTROL
VALUE FUNCTION
title_short On the time discretization of stochastic optimal control problems: The dynamic programming approach
title_full On the time discretization of stochastic optimal control problems: The dynamic programming approach
title_fullStr On the time discretization of stochastic optimal control problems: The dynamic programming approach
title_full_unstemmed On the time discretization of stochastic optimal control problems: The dynamic programming approach
title_sort On the time discretization of stochastic optimal control problems: The dynamic programming approach
dc.creator.none.fl_str_mv Joseph Frédéric, Bonnans
Gianatti, Justina
Silva, Francisco J.
author Joseph Frédéric, Bonnans
author_facet Joseph Frédéric, Bonnans
Gianatti, Justina
Silva, Francisco J.
author_role author
author2 Gianatti, Justina
Silva, Francisco J.
author2_role author
author
dc.subject.none.fl_str_mv DISCRETE TIME SYSTEMS
DYNAMIC PROGRAMMING PRINCIPLE
FEEDBACK CONTROL
STOCHASTIC CONTROL
VALUE FUNCTION
topic DISCRETE TIME SYSTEMS
DYNAMIC PROGRAMMING PRINCIPLE
FEEDBACK CONTROL
STOCHASTIC CONTROL
VALUE FUNCTION
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.
Fil: Joseph Frédéric, Bonnans. Institut National de Recherche en Informatique et en Automatique; Francia. Centre National de la Recherche Scientifique; Francia. Université Paris-Saclay; Francia
Fil: Gianatti, Justina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas. Universidad Nacional de Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas; Argentina
Fil: Silva, Francisco J.. Centre National de la Recherche Scientifique; Francia. Universite de Limoges; Francia
description In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.
publishDate 2019
dc.date.none.fl_str_mv 2019-10
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/121755
Joseph Frédéric, Bonnans; Gianatti, Justina; Silva, Francisco J.; On the time discretization of stochastic optimal control problems: The dynamic programming approach; EDP Sciences; ESAIM-Control Optimisation and Calculus of Variations; 25; 10-2019; 1-28
1262-3377
CONICET Digital
CONICET
url http://hdl.handle.net/11336/121755
identifier_str_mv Joseph Frédéric, Bonnans; Gianatti, Justina; Silva, Francisco J.; On the time discretization of stochastic optimal control problems: The dynamic programming approach; EDP Sciences; ESAIM-Control Optimisation and Calculus of Variations; 25; 10-2019; 1-28
1262-3377
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1051/cocv/2018045
info:eu-repo/semantics/altIdentifier/url/https://www.esaim-cocv.org/articles/cocv/abs/2019/01/cocv170067/cocv170067.html
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv EDP Sciences
publisher.none.fl_str_mv EDP Sciences
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1844614389275033600
score 13.069144

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