1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2023
Lagrangian dual method for solving stochastic linear quadratic optimal control problems with terminal state constraints
Haisen Zhang, Xianfeng Zhang
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is p…
math.OC2014★ 1 cited
Pointwise second-order necessary conditions for stochastic optimal controls, Part I: The case of convex control constraint
Haisen Zhang, Xu Zhang
This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion ter…
math.OC2014
Some results on pointwise second-order necessary conditions for stochastic optimal controls
Haisen Zhang, Xu Zhang
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into bo…