Some methods for numerical solution of continuous convex stochastic optimal control problems

zbMATH Open0785.65078MaRDI QIDQ1190004FDOQ1190004

Authors: N. M. Novikova 

Publication date: 26 September 1992

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

iterative algorithmsrandom disturbancespenalty function methodsintegral cost functionalconvex optimal control problemstochastic quasigradients method

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (5)

• Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Finding optimal convergence control parameter in the homotopy analysis method to solve integral equations based on the stochastic arithmetic
• Title not available (Why is that?)
• Numerical optimal control for problems with random forced SPDE constraints

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