scientific article; zbMATH DE number 4072281

MaRDI QIDQ3804100zbMATH OpenFDO

Authors C. J. Goh, Kok Lay Teo

Publication date 1988

zbMATH Keywords

numerical examplescontrol parametrizationstochastic optimal control problemslinear stochastic Itô equationsstochastic fixed terminal time Bolza problemstochastic minimax optimal control problemtarget hitting problem

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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(6)

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• An optimal one-way multigrid algorithm for discrete-time stochastic control
• A new scalable algorithm for computational optimal control under uncertainty
• Species preservation in an optimal harvest model with random prices
• Extension technology and extrema selections in a stochastic multistart algorithm for optimal control problems
• A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty

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