Fausto Bernardini, Holly Rushmeier
Proceedings of SPIE - The International Society for Optical Engineering
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. In particular, we derive estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set. Copyright © 2006 Watam Press.
Fausto Bernardini, Holly Rushmeier
Proceedings of SPIE - The International Society for Optical Engineering
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