On the convergence of the Sakawa-Shindo algorithm in stochastic control

DOI10.3934/mcrf.2016008zbMath1345.93164OpenAlexW2286772582MaRDI QIDQ326797

Justina Gianatti, Francisco J. Silva, Joseph Frédéric Bonnans

Publication date: 12 October 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2016008

zbMATH Keywords

stochastic controlPontryagin's maximum principlefirst order algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimality conditions for problems involving randomness (49K45)

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