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Maximum principle for discrete-time stochastic optimal control problem under distribution uncertainty
- Publication Year :
- 2022
-
Abstract
- In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost functional under a reference probability $P^{\ast}$. Moreover, under the square integrability condition for noise and control, we establish the discrete-time stochastic maximum principle under $P^{\ast}$. Finally, we introduce a backward algorithm to calculate the reference probability $P^{\ast}$ and the optimal control $u^{\ast}$.<br />Comment: 20 pages
- Subjects :
- Mathematics - Optimization and Control
93E20, 60H10, 35K15
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2206.12846
- Document Type :
- Working Paper