Convergence of finite element methods for singular stochastic control

DOI10.1137/17M1155119MaRDI QIDQ4560705zbMATHOpenAlexFDO

Authors Martin G. Vieten, Richard H. Stockbridge

Publication date 7 December 2018

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.07542

zbMATH Keywords

linear programmingfinite element methodsingular stochastic controlrelaxed controls

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic systems in control theory (general) (93E03)

Abstract: A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type approximation, which results in a solvable finite-dimensional program. The discretization scheme as well as the necessary assumptions are discussed, and a detailed convergence analysis for the discretization scheme is given. Its performance is illustrated by two examples featuring a long-term average cost criterion.

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• A Numerical Method for Solving Singular Stochastic Control Problems
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems

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