Model reduction algorithms for optimal control and importance sampling of diffusions

DOI10.1088/0951-7715/29/8/2298zbMath1347.65115MaRDI QIDQ2816523

Carsten Hartmann, Christof Schütte, Wei Zhang

Publication date: 23 August 2016

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0951-7715/29/8/2298

zbMATH Keywords

algorithm; numerical example; importance sampling; stochastic optimal control; model reduction; transition path

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

93E20: Optimal stochastic control

49J55: Existence of optimal solutions to problems involving randomness