Year: 2013
International Journal of Numerical Analysis and Modeling, Vol. 10 (2013), Iss. 4 : pp. 757–774
Abstract
In this work, we propose a simple yet effective gradient projection algorithm for a class of stochastic optimal control problems. The basic iteration block is to compute gradient projection of the objective functional by solving the state and co-state equations via some Euler methods and by using the Monte Carlo simulations. Convergence properties are discussed and extensive numerical tests are carried out. Possibility of extending this algorithm to more general stochastic optimal control is also discussed.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2013-IJNAM-594
International Journal of Numerical Analysis and Modeling, Vol. 10 (2013), Iss. 4 : pp. 757–774
Published online: 2013-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: stochastic optimal control numerical method gradient projection algorithm.