An efficient Monte Carlo method for optimal control problems with uncertainty
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Publication:1421741
DOI10.1023/A:1026079021836zbMATH Open1077.49026OpenAlexW1574446951MaRDI QIDQ1421741FDOQ1421741
Authors: Yanzhao Cao, T. A. Zang, M. Yousuff Hussaini 
Publication date: 3 February 2004
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1026079021836
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- A multi-mode expansion method for boundary optimal control problems constrained by random Poisson equations
- A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation
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- Solving discrete first-order matrix linear control problems with general parametric uncertainties: a probability-density-based approach
- A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
- Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
- An efficient sampling method for stochastic inverse problems
- A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
- Forecasting macroeconomic fundamentals in economic crises
- An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations
- Monte Carlo simulation for solving Fredholm integral equations
- Variance reduction method based on sensitivity derivatives. II.
- A distributed optimal control problem with averaged stochastic gradient descent
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