An efficient gradient projection method for stochastic optimal control problems
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backward stochastic differential equationsstochastic optimal controlconditional expectationsgradient projection methods
Probabilistic models, generic numerical methods in probability and statistics (65C20) Partial differential equations of mathematical physics and other areas of application (35Q99) Free boundary problems for PDEs (35R35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cited in
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- A distributed optimal control problem with averaged stochastic gradient descent
- Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
- SOC-MartNet: a martingale neural network for the Hamilton-Jacobi-Bellman equation without explicit \(\inf_{u\in U}H\) in stochastic optimal controls
- A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
- A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty
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- An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
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- Space mapping-based receding horizon control for stochastic interacting particle systems: dogs herding sheep
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
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