{"title":"Pontryagin’s Principle for Some Probabilistic Control Problems","authors":"Wim van Ackooij, René Henrion, Hasnaa Zidani","doi":"10.1007/s00245-024-10151-4","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper we investigate optimal control problems perturbed by random events. We assume that the control has to be decided prior to observing the outcome of the perturbed state equations. We investigate the use of probability functions in the objective function or constraints to define optimal or feasible controls. We provide an extension of differentiability results for probability functions in infinite dimensions usable in this context. These results are subsequently combined with the optimal control setting to derive a novel Pontryagin’s optimality principle.</p></div>","PeriodicalId":55566,"journal":{"name":"Applied Mathematics and Optimization","volume":"90 1","pages":""},"PeriodicalIF":1.6000,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Mathematics and Optimization","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s00245-024-10151-4","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper we investigate optimal control problems perturbed by random events. We assume that the control has to be decided prior to observing the outcome of the perturbed state equations. We investigate the use of probability functions in the objective function or constraints to define optimal or feasible controls. We provide an extension of differentiability results for probability functions in infinite dimensions usable in this context. These results are subsequently combined with the optimal control setting to derive a novel Pontryagin’s optimality principle.
期刊介绍：
The Applied Mathematics and Optimization Journal covers a broad range of mathematical methods in particular those that bridge with optimization and have some connection with applications. Core topics include calculus of variations, partial differential equations, stochastic control, optimization of deterministic or stochastic systems in discrete or continuous time, homogenization, control theory, mean field games, dynamic games and optimal transport. Algorithmic, data analytic, machine learning and numerical methods which support the modeling and analysis of optimization problems are encouraged. Of great interest are papers which show some novel idea in either the theory or model which include some connection with potential applications in science and engineering.
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