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- W2896752400 abstract "We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. It is well known that the characterization of the related value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions involving an interplay between the dynamics of the processes involved and the set of constraints. To treat this problem in absence of those assumptions we first translate it into a state-constrained stochastic target problem and then apply a level-set approach to describe the reachable set. Using this approach the state constraints can be easily handled through an exact penalization technique. However, this stochastic target problem involves a new set of state and control variables. In particular, those controls are unbounded. A 'compactification' of the problem is then performed." @default.
- W2896752400 created "2018-10-26" @default.
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- W2896752400 date "2018-10-09" @default.
- W2896752400 modified "2023-09-27" @default.
- W2896752400 title "Optimal Control under Controlled-Loss Constraints via Reachability Approach and Compactification" @default.
- W2896752400 hasPublicationYear "2018" @default.
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