A level-set approach for stochastic optimal control problems under controlled-loss constraints

A level-set approach for stochastic optimal control problems under controlled-loss constraints

We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the proces...

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Main Authors: Bouveret, Geraldine, Picarelli, Athena
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2020
Subjects:
Science::Mathematics
Optimal Control
Viscosity Solutions
Online Access:https://hdl.handle.net/10356/143416
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1434162023-02-28T19:50:42Z A level-set approach for stochastic optimal control problems under controlled-loss constraints Bouveret, Geraldine Picarelli, Athena School of Physical and Mathematical Sciences Science::Mathematics Optimal Control Viscosity Solutions We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the processes involved and the set of constraints. To treat this problem in absence of those assumptions, we first convert it into a state-constrained stochastic target problem and then apply a level-set approach. With this approach, the state constraints can be managed through an exact penalization technique. Accepted version Authors are grateful to the Young Investigator Training Program and Association of Bank Foundations. This is a post-peer-review, pre-copyedit version of an article published in Journal of Optimization Theory and Applications. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10957-020-01724-8 2020-08-31T06:07:10Z 2020-08-31T06:07:10Z 2020 Journal Article Bouveret, G., & Picarelli, A. (2020). A level-set approach for stochastic optimal control problems under controlled-loss constraints. Journal of Optimization Theory and Applications. doi:10.1007/s10957-020-01724-8 0022-3239 https://hdl.handle.net/10356/143416 10.1007/s10957-020-01724-8 en Journal of Optimization Theory and Applications © 2020 Springer Nature Switzerland AG. This is a post-peer-review, pre-copyedit version of an article published in Journal of Optimization Theory and Applications. The final authenticated version is available online at https://doi.org/10.1007/s10957-020-01724-8 application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Science::Mathematics
Optimal Control
Viscosity Solutions
spellingShingle Science::Mathematics
Optimal Control
Viscosity Solutions
Bouveret, Geraldine
Picarelli, Athena
A level-set approach for stochastic optimal control problems under controlled-loss constraints
description We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the processes involved and the set of constraints. To treat this problem in absence of those assumptions, we first convert it into a state-constrained stochastic target problem and then apply a level-set approach. With this approach, the state constraints can be managed through an exact penalization technique.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Bouveret, Geraldine
Picarelli, Athena
format Article
author Bouveret, Geraldine
Picarelli, Athena
author_sort Bouveret, Geraldine
title A level-set approach for stochastic optimal control problems under controlled-loss constraints
title_short A level-set approach for stochastic optimal control problems under controlled-loss constraints
title_full A level-set approach for stochastic optimal control problems under controlled-loss constraints
title_fullStr A level-set approach for stochastic optimal control problems under controlled-loss constraints
title_full_unstemmed A level-set approach for stochastic optimal control problems under controlled-loss constraints
title_sort level-set approach for stochastic optimal control problems under controlled-loss constraints
publishDate 2020
url https://hdl.handle.net/10356/143416
_version_ 1759857055527600128

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