On some stochastic control problems with state constraints

Athena Picarelli 1, 2
1 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 deals with Hamilton-Jacobi-Bellman (HJB) approach for some stochastic control problems in presence of state-constraints. This class of problems arises in many challenging applications, and a wide literature has already analysed such problems under some strong compatibility conditions. The main features of the present thesis is to provide new ways to face the presence of constraints without assuming any controllability condition. The first contribution of the thesis in this direction is obtained by exploiting the existing link between backward reachability and optimal control problems. It is shown that by considering a suitable auxiliary unconstrained optimal control problem, the level set approach can be extended to characterize the backward reachable sets under state-constrained. On the other hand the value function associated with a general state constrained stochastic optimal control problem is characterized by means of a state constrained backward reachable set, enabling the application of the level set method for handling the presence of the state constraints. This link between optimal control problems and reachability sets led to the theoretical and numerical analysis of HJB equations with oblique derivative boundary conditions and problems with unbounded controls. Error estimates for Markov-chain approximation represent another contribution of this manuscript. Furthermore, the properties of asymptotic controllability of a stochastic system have also been studied. A generalization of the Zubov method to state constrained stochastic systems is presented. In the last part of the thesis an ergodic optimal control problems in presence of state-constraints are considered.
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Athena Picarelli. On some stochastic control problems with state constraints. Mathematics [math]. Ecole polytechnique X, 2015. English. ⟨tel-01145588⟩

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