A modified MSA for stochastic control problems
From MaRDI portal
Publication:2234329
DOI10.1007/s00245-021-09750-2zbMath1472.93198arXiv2007.05209OpenAlexW3118438684MaRDI QIDQ2234329
B. Kerimkulov, Lukasz Szpruch, David Šiška
Publication date: 19 October 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.05209
Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (4)
Newton Method for Stochastic Control Problems ⋮ Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems ⋮ Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning ⋮ A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On finite-difference approximations for normalized Bellman equations
- Continuous-time stochastic control and optimization with financial applications
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- A stability approach for solving multidimensional quadratic BSDEs
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Solution of forward-backward stochastic differential equations
- Convergence of the deep BSDE method for coupled FBSDEs
- A monotone scheme for high-dimensional fully nonlinear PDEs
- The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Numerical methods for forward-backward stochastic differential equations
- On the policy improvement algorithm in continuous time
- FUNCTIONAL EQUATIONS IN THE THEORY OF DYNAMIC PROGRAMMING. V. POSITIVITY AND QUASI-LINEARITY
- Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
- Solving high-dimensional partial differential equations using deep learning
- Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions
- Backward Stochastic Differential Equations
- On a method of successive approximations for the solution of problems of optimal control
This page was built for publication: A modified MSA for stochastic control problems
