Some methods for numerical solution of continuous convex stochastic optimal control problems

MaRDI QIDQ1190004zbMATH OpenFDO

Authors N. M. Novikova

Publication date 26 September 1992

Published in Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

convex optimal control problemintegral cost functionaliterative algorithmspenalty function methodsrandom disturbancesstochastic quasigradients method

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20)

Review text

See the review in Zbl 0753.65053.

Cited in

(5)

• Finding optimal convergence control parameter in the homotopy analysis method to solve integral equations based on the stochastic arithmetic
• Numerical optimal control for problems with random forced SPDE constraints
• scientific article; zbMATH DE number 2109949 (Why is no real title available?)
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints

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