In this article, we study and compare two approaches to solving stochastic optimal control problems with an expectation constraint on the final state. The case of a probability constraint is included in this framework. The first approach is based on a dynamic programming principle and the second one uses Lagrange relaxation. These approaches can be used for continuous-time problems; we provide numerical results for an academic example.
Citation
SFB Report 2015-007, May 2015.