Systems & Control

Systems & Control

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stochastic optimal control in discrete time. SIAM J. Control and Optimization,

28:810–822, 1990.

[10] P. Varaiya and R. Wets. Stochastic dynamic optimization, approaches and computation.

In M. Iri and K. Tanabe, editors, Mathematical Programming, Recent Developments

and Applications, pages 309–332. Kluwer Academic Publisher, 1989.

[ 9] V.I. Arkin, A. Shiraev, and R. Wets, editors. Stochastic Optimization. Proceedings of

the International Conference, Kiev, 1984,

Lecture Notes in Control and Information Sciences 81. Springer, 1986.

[ 8] R.T. Rockafellar and R. Wets. Deterministic and stochastic optimization problems of

Bolza type in discrete time. Stochastics, 10:273–312, 1983.

[ 7] M. Pavon and R. Wets. The duality between estimation and control from a variational

viewpoint: the discrete time case. Mathematical Programming Study, 18:1–11, 1982.

[ 6] D. Sorensen and R. Wets, editors. Nondifferential and Variational Techniques in

Optimization. North-Holland, 1982.

[ 5] D. Sorensen and R. Wets, editors. Algorithms and Theory in Filtering and Control.

North-Holland, 1982.

[ 4] M. Pavon and R. Wets. A stochastic variational approach to the duality between

estimation and control. In O.L.R. Jacobs, M.H.A. Davis, M. Dempster, C.J. Harris, and

P.C. Parks, editors, Analysis and Optimization of Stochastic Systems,

pages 347–360. Academic Press, 1980.

[ 3] M. Pavon and R. Wets. A stochastic variational approach to the duality between

estimation and control: continuous time. In A. Bensoussan and J.L. Lions, editors,

Analysis and Optimization of Systems, Lecture Notes in Control and Information

Sciences 28, pages 318–321. Springer, 1980.

[ 2] R. Wets, editor. Stochastic Systems: Modeling, Identification and Optimization.

North-Holland, 1976.

[ 1] R. Van Slyke and R. Wets. Programming under uncertainty and stochastic optimal

control. SIAM J. on Control, 4:179–193, 1966.