Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view
Optimization and Control
2014-04-07 v2
Abstract
In this work we provide a first order sensitivity analysis of some parameterized stochastic optimal control problems. The parameters can be given by random processes. The main tool is the one-to-one correspondence between the adjoint states appearing in a weak form of the stochastic Pontryagin principle and the Lagrange multipliers associated to the state equation.
Keywords
Cite
@article{arxiv.1404.0586,
title = {Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view},
author = {Julio Backhoff and Francisco Silva},
journal= {arXiv preprint arXiv:1404.0586},
year = {2014}
}