An effective gradient projection method for stochastic optimal control (Q2865642)
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scientific article; zbMATH DE number 6235032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An effective gradient projection method for stochastic optimal control |
scientific article; zbMATH DE number 6235032 |
Statements
2 December 2013
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stochastic optimal control
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gradient projection algorithm
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Euler method
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stochastic maximum principle
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orbit Monte Carlo simulations
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convergence
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numerical examples
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An effective gradient projection method for stochastic optimal control (English)
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Stochastic optimal controls are more difficult to realize numerically than the deterministic optimal controls, because a feedback relationship between the optimal state and optimal control needs to be computed. A gradient projection algorithm is developed utilizing the co-state equations, via the Euler method and by using a stochastic maximum principle and orbit Monte Carlo simulations. The algorithm is easy to implement. Convergence properties of the method are investigated. Numerical examples demonstrate the efficiency of the algorithm.
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