Error estimates for the logarithmic barrier method in stochastic linear quadratic optimal control problems

Joseph Frédéric Bonnans 1, 2 Francisco Silva 1, 2
1 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, UMA - Unité de Mathématiques Appliquées
Abstract : We consider a linear quadratic stochastic optimal control problem whith non-negativity control constraints. The latter are penalized with the classical logarithmic barrier. Using a duality argument and the stochastic minimum principle, we provide an error estimate for the solution of the penalized problem which is the natural extension of the well known estimate in the deterministic framework.
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Joseph Frédéric Bonnans, Francisco Silva. Error estimates for the logarithmic barrier method in stochastic linear quadratic optimal control problems. Systems and Control Letters, Elsevier, 2012, 61 (1), pp.143-147. ⟨inria-00537229⟩

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