An effective gradient projection method for stochastic optimal control
Stochastic optimal controls are more difficult to realize numerically than the deterministic optimal controls, because a feedback relationship between the optimal state and optimal control needs to be computed. A gradient projection algorithm is developed utilizing the co-state equations, via the Euler method and by using a stochastic maximum principle and orbit Monte Carlo simulations. The algorithm is easy to implement. Convergence properties of the method are investigated. Numerical examples demonstrate the efficiency of the algorithm.
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