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math.OC2018
Probabilistic error analysis for some approximation schemes to optimal control problems
Athena Picarelli, Christoph Reisinger
We introduce a class of numerical schemes for optimal control problems based on a novel Markov chain approximation, which uses, in turn, a piecewise constant policy approximation,…
math.OC2018
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Geraldine Bouveret, Athena Picarelli
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 func…