Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712)
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scientific article; zbMATH DE number 6082294
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| English | Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems |
scientific article; zbMATH DE number 6082294 |
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Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (English)
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14 September 2012
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stochastic control
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linear quadratic problems
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non-negativity control constraints
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logarithmic barrier
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stochastic minimum principle
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0.762588381767273
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0.7596060633659363
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0.7559930086135864
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0.7559819221496582
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