Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint.
Haisen ZhangXu ZhangPublished in: SIAM J. Control. Optim. (2015)
Keyphrases
- pointwise
- weighted sum
- optimal control
- control policies
- inequality constraints
- globally optimal
- constraint qualification
- control policy
- polynomial approximation
- monte carlo
- convex sets
- optimal solution
- lipschitz continuity
- constrained minimization
- stochastic control
- nonparametric regression
- piecewise linear
- confidence intervals
- sufficient conditions
- worst case
- linear combination
- data points
- dynamic programming
- control system
- feature space