Optimality Issues for a Class of Controlled Singularly Perturbed Stochastic Systems

Dan Goreac 1 Oana Silvia Serea 2
1 PS
LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
Abstract : The present paper aims at studying stochastic singularly perturbed control systems. We begin by recalling the linear (primal and dual) formulations for classical control problems. In this framework, we give necessary and sufficient support criteria for optimality of the measures intervening in these formulations. Motivated by these remarks, in a first step, we provide linearized formulations associated to the value function in the averaged dynamics setting. Second, these formulations are used to infer criteria allowing to identify the optimal trajectory of the averaged stochastic system.
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Dan Goreac, Oana Silvia Serea. Optimality Issues for a Class of Controlled Singularly Perturbed Stochastic Systems. Journal of Optimization Theory and Applications, Springer Verlag, 2016, 168 (1), pp.22--52. ⟨10.1007/s10957-015-0738-4⟩. ⟨hal-00987521v2⟩

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