Newton Method for Stochastic Control Problems

DOI10.1137/21M1408567zbMath1500.93145OpenAlexW3118436380MaRDI QIDQ5039281

Emmanuel Gobet, Maxime Grangereau

Publication date: 12 October 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1408567

zbMATH Keywords

stochastic optimal controlbackward stochastic differential equationsNewton methodforward-backward stochastic differential equationsenergy managementempirical regression

Mathematics Subject Classification ID

Newton-type methods (49M15) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10)

Uses Software

• Scikit

Cites Work

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