Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints.
Laurent PfeifferXiaolu TanYu-Long ZhouPublished in: SIAM J. Control. Optim. (2021)
Keyphrases
- optimal control problems
- optimal control
- solving nonlinear
- production planning
- continuous functions
- control theory
- equality constraints
- constrained optimization
- augmented lagrangian
- differential equations
- nonlinear equations
- linear constraints
- infinite dimensional
- reinforcement learning
- mixed integer
- infinite horizon
- real valued
- dynamical systems