Gradient method for computing optimal controls for stochastic differential equations

DOI10.1080/07362998708809110MaRDI QIDQ3028853zbMATH OpenOpenAlexFDO

Authors Tayel Essawy Dabbous, Hartanto Wijaya Wong, N. U. Ahmed

Publication date 1987

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362998708809110

zbMATH Keywords

completely observable non- degenerated diffusion process with controlled driftgradient methodsuboptimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99) Methods of reduced gradient type (90C52) Optimal stochastic control (93E20)

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Cites work

• A numerical technique for small-noise stochastic control problems
• An Existence Theorem on Optimal Control of Partially Observable Diffusions
• Diffusion processes with continuous coefficients, I
• scientific article; zbMATH DE number 3222151 (Why is no real title available?)
• Optimal Control of Partially Observable Diffusions
• Optimal control of stochastic Ito differential systems by fixed terminal time
• Solution of the stochastic control problem in unbounded domains

Cited in

(3)

• An effective gradient projection method for stochastic optimal control
• A gradient algorithm for optimal control problems with model-reality differences
• Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters

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