Numerical solution of the finite horizon stochastic linear quadratic control problem

DOI10.1002/NLA.2091MaRDI QIDQ5355099zbMATH OpenOpenAlexFDO

Authors Hermann Mena, Tony Stillfjord, Tobias Damm

Publication date 6 September 2017

Published in Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nla.2091

zbMATH Keywords

BDF methodsRosenbrock methodssplitting methodsstochastic LQR problemstochastic Riccati equations

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(16)

• Numerical low-rank approximation of matrix differential equations
• An efficient SPDE approach for El Niño
• A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
• GPU acceleration of splitting schemes applied to differential matrix equations
• A framework for randomized time-splitting in linear-quadratic optimal control
• On deterministic and stochastic linear quadratic control problems
• The stochastic linear quadratic control problem with singular estimates
• Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation
• Geometric Methods on Low-Rank Matrix and Tensor Manifolds
• A numerical method for solving stochastic optimal control problems with linear control
• Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
• Sequential convex programming for non-linear stochastic optimal control
• Approximative policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format
• A numerical method for solving stochastic linear quadratic problem with a finance application
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation

Describes a project that uses

Uses Software

• Ode15s
• Matlab

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