A Newton-like algorithm for the shortest path based on the method of evolving junctions

DOI10.4310/CMS.2016.v14.n4.a15zbMath1345.49038OpenAlexW2331216002MaRDI QIDQ305087

Wuchen Li, Shui-Nee Chow, Hao-Min Zhou

Publication date: 26 August 2016

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2016.v14.n4.a15

zbMATH Keywords

stochastic differential equationsNewton methodshortest path problemevolving junctionsintermittent diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Newton-type methods (49M15) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

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Method of evolving junctions: a new approach to optimal control with constraints

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