A Stochastic Gradient Descent Approach for Stochastic Optimal Control

DOI10.4208/eajam.190420.200420OpenAlexW3049221496MaRDI QIDQ4986620

Feng Bao, Richard Archibald, Jiong-min Yong

Publication date: 27 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.190420.200420

zbMATH Keywords

maximum principlestochastic optimal controlstochastic gradient descentforward backward stochastic differential equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods based on nonlinear programming (49M37) Discrete approximations in optimal control (49M25)

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