An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method

DOI10.1080/02331934.2021.2009824MaRDI QIDQ5044095zbMATH OpenOpenAlexFDO

Authors Hacer Öz Bakan, F. Yılmaz, Gerhard-Wilhelm Weber

Publication date 24 October 2022

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2021.2009824

zbMATH Keywords

discrete optimality conditionsleast-squares Monte Carlo methodoptimizationRunge-Kutta methodstochastic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)

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(10)

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• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
• A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
• A multilevel approach for stochastic nonlinear optimal control
• DSSA: direct simplified symbolic analysis using metaheuristic-driven circuit modelling
• Pathwise stochastic control and a class of stochastic partial differential equations
• Plithogenic fuzzy graph: a study of fundamental properties and potential applications
• Pricing and green innovation for national and private brands on the e-retail platform

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