Some methods for numerical solution of continuous convex stochastic optimal control problems (Q1190004)
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scientific article; zbMATH DE number 56550
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| English | Some methods for numerical solution of continuous convex stochastic optimal control problems |
scientific article; zbMATH DE number 56550 |
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Some methods for numerical solution of continuous convex stochastic optimal control problems (English)
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26 September 1992
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See the review in Zbl 0753.65053.
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convex optimal control problem
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integral cost functional
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random disturbances
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iterative algorithms
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penalty function methods
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stochastic quasigradients method
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