An effective gradient projection method for stochastic optimal control
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(27)- A stochastic gradient type algorithm for closed-loop problems
- Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
- On the convergence of the gradient projection method for convex optimal control problems with bang-bang solutions
- Numerical methods of successive elimination and optimization in stochastic optimal control
- Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints
- A priori error estimate of perturbation method for optimal control problem governed by elliptic PDEs with small uncertainties
- Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
- Gradient dynamic optimization with Legendre chaos
- Proximal point algorithm for an approximated stochastic optimal control problem
- A priori error estimate of stochastic Galerkin method for optimal control problem governed by stochastic elliptic PDE with constrained control
- Gradient method for computing optimal controls for stochastic differential equations
- Optimal control via self-generated stochasticity
- On the convergence of the Sakawa-Shindo algorithm in stochastic control
- Gradient-projection and policy-iteration methods for solving optimization problems in STEOR networks
- Some methods for numerical solution of continuous convex stochastic optimal control problems
- An efficient gradient projection method for stochastic optimal control problems
- Principal whitened gradient-projection algorithm for distributions control
- An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
- Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model
- Meshfree approximation for stochastic optimal control problems
- A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
- Random-direction optimization algorithms with applications to threshold controls
- Gradient flows for regularized stochastic control problems
- Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
- Convergence rate of Riccati-based discretization for linear quadratic optimal control problem of stochastic mixed systems
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