An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method (Q5044095)
From MaRDI portal
scientific article; zbMATH DE number 7606162
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method |
scientific article; zbMATH DE number 7606162 |
Statements
An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method (English)
0 references
24 October 2022
0 references
stochastic optimal control
0 references
discrete optimality conditions
0 references
least-squares Monte Carlo method
0 references
Runge-Kutta method
0 references
optimization
0 references
0 references
