most citedNumerical solution of an optimal control problem with probabilistic and almost sure state constraints

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math.OC2023★ 1 cited

Numerical solution of an optimal control problem with probabilistic and almost sure state constraints

Caroline Geiersbach, René Henrion, Pedro Pérez-Aros

We consider the optimal control of a PDE with random source term subject to probabilistic or almost sure state constraints. In the main theoretical result, we provide an exact form…