Duality method for multidimensional nonsmooth constrained linear convex stochastic control
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s10957-023-02237-w.pdf (472.19 KB)
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Author(s)
Dela Vega, Engel John
Zheng, Harry
Type
Journal Article
Abstract
In this paper we discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and
illustrate the usefulness of the dual approach with some examples.
Date Issued
2023-10-01
Date Acceptance
2023-05-01
Citation
Journal of Optimization Theory and Applications, 2023, 199, pp.80-111
URI
DOI
ISSN
0022-3239
Publisher
Springer
Start Page
80
End Page
111
Journal / Book Title
Journal of Optimization Theory and Applications
Volume
199
Copyright Statement
© The Author(s) 2023. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
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Publication Status
Published
Date Publish Online
2023-07-26