Sensitivity analysis for optimal control problems. Stochastic optimal control with a probability constraint

Laurent Pfeiffer 1, 2
2 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, UMA - Unité de Mathématiques Appliquées
Abstract : This thesis is divided into two parts. In the first part, we study constrained deterministic optimal control problems and sensitivity analysis issues, from the point of view of abstract optimization. Second-order necessary and sufficient optimality conditions, which play an important role in sensitivity analysis, are also investigated. In this thesis, we are interested in strong solutions. We use this generic term for locally optimal controls for the $L^1$-norm, roughly speaking. We use two essential tools: a relaxation technique, which consists in using simultaneously several controls, and a decomposition principle, which is a particular second-order Taylor expansion of the Lagrangian. Chapters 2 and 3 deal with second-order necessary and sufficient optimality conditions for strong solutions of problems with pure, mixed, and final-state constraints. In Chapter 4, we perform a sensitivity analysis for strong solutions of relaxed problems with final-state constraints. In Chapter 5, we perform a sensitivity analysis for a problem of nuclear energy production. In the second part of the thesis, we study stochastic optimal control problems with a probability constraint. We study an approach by dynamic programming, in which the level of probability is a supplementary state variable. In this framework, we show that the sensitivity of the value function with respect to the probability level is constant along optimal trajectories. We use this analysis to design numerical schemes for continuous-time problems. These results are presented in Chapter 6, in which we also study an application to asset-liability management.
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Laurent Pfeiffer. Sensitivity analysis for optimal control problems. Stochastic optimal control with a probability constraint. Optimization and Control [math.OC]. Ecole Polytechnique X, 2013. English. ⟨pastel-00881119⟩



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