Model reduction algorithms for optimal control and importance sampling of diffusions
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Publication:2816523
DOI10.1088/0951-7715/29/8/2298zbMath1347.65115OpenAlexW613018134MaRDI QIDQ2816523
Wei Zhang, Christof Schütte, Carsten Hartmann
Publication date: 23 August 2016
Published in: Nonlinearity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0951-7715/29/8/2298
algorithmnumerical exampleimportance samplingstochastic optimal controlmodel reductiontransition path
Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
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