A method of computing the gradient and the Hessian of the quality criterion in parametric optimization of continuous-discrete stochastic systems

DOI10.1007/BF02362655zbMath0869.93056MaRDI QIDQ1359314

G. A. Agranovich, L. N. Kanov

Publication date: 26 June 1997

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

adjoint equationsHessian matrixquadratic quality criteriongradient vectorcontinuous-discrete stochastic control systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

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