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
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/121755
Ver los metadatos del registro completo
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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 Técnicas2025-09-03T10:08:25Zoai: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:34982025-09-03 10:08:25.32CONICET 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 |
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1842270043743715328 |
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13.13397 |