An effective gradient projection method for stochastic optimal control

MaRDI QIDQ2865642zbMATH OpenFDO

Authors Ning Du, Jingtao Shi, Wenbin Liu

Publication date 2 December 2013

Published in International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)

Full work available at URL http://www.math.ualberta.ca/ijnam/Volume10-1.htm

zbMATH Keywords

convergencenumerical examplesstochastic maximum principlestochastic optimal controlEuler methodgradient projection algorithmorbit Monte Carlo simulations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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(26)

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• A stochastic gradient type algorithm for closed-loop problems
• Gradient dynamic optimization with Legendre chaos
• On the convergence of the Sakawa-Shindo algorithm in stochastic control
• Optimal control via self-generated stochasticity
• Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
• Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
• Numerical methods of successive elimination and optimization in stochastic optimal control
• Some methods for numerical solution of continuous convex stochastic optimal control problems
• Principal whitened gradient-projection algorithm for distributions control
• Meshfree approximation for stochastic optimal control problems
• Proximal point algorithm for an approximated stochastic optimal control problem
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

Describes a project that uses

Uses Software

• SQPlab
• PLCP

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