Min-max control problems via occupational measures

Dan Goreac (1) , Oana Silvia Serea (2)

1 PS
2 LAMPS - LAboratoire de Modélisation Pluridisciplinaire et Simulations

We propose a linearized formulation for min-max control problems with separated dynamics. First, we investigate the existence of the value function and saddle points for semicontinuous costs. Second, we obtain dual formulations and dynamic programming principles.

Mots clés: min-max control problems; occupational measures; dynamic programming principle; linearization techniques

Domaines: Probabilités [math.PR]; Optimisation et contrôle [math.OC]

Dan Goreac, Oana Silvia Serea. Min-max control problems via occupational measures. Optimal Control Applications and Methods, 2014, Volume 35 (Issue 3), p. 340-360, May/June 2014. ⟨10.1002/oca.2071⟩. ⟨hal-00879272⟩