On the convergence of the Sakawa-Shindo algorithm in stochastic control

DOI10.3934/MCRF.2016008MaRDI QIDQ326797zbMATHOpenAlexFDO

Authors Justina Gianatti, Francisco J. Silva, J. Frédéric Bonnans

Publication date 12 October 2016

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2016008

zbMATH Keywords

Pontryagin's maximum principlestochastic controlfirst order algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20) Numerical methods based on necessary conditions (49M05)

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• scientific article; zbMATH DE number 4057456 (Why is no real title available?)
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• Convex programming in Hilbert space
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• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• On an Algorithm for Optimal Control Using Pontryagin’s Maximum Principle
• On global convergence of an algorithm for optimal control
• On the stochastic maximum principle. Fixed time of control
• Sensitivity results in stochastic optimal control: a Lagrangian perspective
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
• Stochastic maximum principle for distributed parameter systems
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Cited in

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• The modified MSA, a gradient flow and convergence
• A modified MSA for stochastic control problems
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• A successive approximation algorithm for stochastic control problems
• scientific article; zbMATH DE number 425620 (Why is no real title available?)
• An efficient gradient projection method for stochastic optimal control problems
• Newton method for stochastic control problems

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