HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Journal articles

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.
Document type :
Journal articles
Complete list of metadata

Cited literature [27 references]  Display  Hide  Download

Contributor : Admin Lama Connect in order to contact the contributor
Submitted on : Sunday, July 27, 2014 - 9:02:00 AM
Last modification on : Saturday, January 15, 2022 - 4:05:42 AM
Long-term archiving on: : Tuesday, November 25, 2014 - 7:01:25 PM


Files produced by the author(s)



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⟩



Record views


Files downloads