ABSTRACT This paper is devoted to the analysis of a finite horizon discrete time stochastic optimal control problem in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithms. In particular we derive estimates of the Lipschitz constant of the value function by means of a regularity result of the multifunction that defines the admissible control set. KEYWORDS Optimal Control, Dynamic Programming, Constraints, Lipschitz regularity, Multifunctions.
Lipschitzian Estimates in Discrete-Time Constrained Optimal Control
PAPI M;
2006-01-01
Abstract
ABSTRACT This paper is devoted to the analysis of a finite horizon discrete time stochastic optimal control problem in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithms. In particular we derive estimates of the Lipschitz constant of the value function by means of a regularity result of the multifunction that defines the admissible control set. KEYWORDS Optimal Control, Dynamic Programming, Constraints, Lipschitz regularity, Multifunctions.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
