Pathwise stochastic optimal control

摘要

This paper approaches optimal control problems for discrete- time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an in. mum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical methods based on Monte Carlo simulation, which may be advantageous in high- dimensional problems or in problems with complicated constraints.