کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
750340 | 895067 | 2011 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Near-optimal control for stochastic recursive problems Near-optimal control for stochastic recursive problems](/preview/png/750340.png)
It is well documented (e.g. Zhou (1998) [8]) that the near-optimal controls, as the alternative to the “exact” optimal controls, are of great importance for both the theoretical analysis and practical application purposes due to its nice structure and broad-range availability, feasibility as well as flexibility. However, the study of near-optimality on the stochastic recursive problems, to the best of our knowledge, is a totally unexplored area. Thus we aim to fill this gap in this paper. As the theoretical result, a necessary condition as well as a sufficient condition of near-optimality for stochastic recursive problems is derived by using Ekeland’s principle. Moreover, we work out an εε-optimal control example to shed light on the application of the theoretical result. Our work develops that of [8] but in a rather different backward stochastic differential equation (BSDE) context.
Journal: Systems & Control Letters - Volume 60, Issue 3, March 2011, Pages 161–168