Convergence of Minima of Integral Functionals, with Applications to Optimal Control and Stochastic Optimization
Abstract
Epi-convergence of integral functionals is derived under new conditions that can be used in the infinite dimensional case. Applications include: the convergence of the solutions of approximating optimal control problems and of stochastic optimization problems.
KEYWORDS: epi-convergence, statistical consistency, uniform convergence of measures, expectation functionals, integral functionals, optimal control, mid-course maneuver problems
KEYWORDS: epi-convergence, statistical consistency, uniform convergence of measures, expectation functionals, integral functionals, optimal control, mid-course maneuver problems