Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem

DOI10.1515/MCMA.2000.6.3.175zbMath0970.65075OpenAlexW2078539699MaRDI QIDQ2706994

Christiane Tammer, Frank Heyde, Wilfried Grecksch

Publication date: 21 October 2001

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2000.6.3.175

zbMATH Keywords

stochastic optimal controlMarkov chaindiscrete Bellman equationprimal dual proximal point algorithm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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