Title of article
Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
Author/Authors
Bonnans، نويسنده , , J. Frédéric and Silva، نويسنده , , Francisco J.، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2012
Pages
5
From page
143
To page
147
Abstract
We consider a linear quadratic stochastic optimal control problem with non-negativity control constraints. The latter are penalized with the classical logarithmic barrier. Using a duality argument and the stochastic minimum principle, we provide error estimates for the central path which are the natural extensions of the well known estimates in the deterministic framework.
Keywords
stochastic control , Linear quadratic problems , Non-negativity control constraints , Logarithmic barrier , Stochastic minimum principle
Journal title
Systems and Control Letters
Serial Year
2012
Journal title
Systems and Control Letters
Record number
1675901
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