Proximal point algorithm for an approximated stochastic optimal control problem

DOI10.1515/MCMA.2000.6.3.175MaRDI QIDQ2706994zbMATH OpenOpenAlexFDO

Authors Wilfried Grecksch, Frank Heyde, Chr. Tammer

Publication date 21 October 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2000.6.3.175

zbMATH Keywords

discrete Bellman equationMarkov chainprimal dual proximal point algorithmstochastic optimal control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20)

Review text

A new method is introduced for solving stochastic optimal control problems under control restrictions. A special Markov chain approximation is used for discretization. For solving the discrete Bellman equation a primal dual proximal point algorithm is derived.

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