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Volume 10, Issue 4
An Effective Gradient Projection Method for Stochastic Optimal Control

N. Du, J. Shi & W. Liu

Int. J. Numer. Anal. Mod., 10 (2013), pp. 757-774.

Published online: 2013-10

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  • Abstract

In this work, we propose a simple yet effective gradient projection algorithm for a class of stochastic optimal control problems. The basic iteration block is to compute gradient projection of the objective functional by solving the state and co-state equations via some Euler methods and by using the Monte Carlo simulations. Convergence properties are discussed and extensive numerical tests are carried out. Possibility of extending this algorithm to more general stochastic optimal control is also discussed.

  • Keywords

stochastic optimal control, numerical method, gradient projection algorithm.

  • AMS Subject Headings

49K15, 65L12, 93E20

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{IJNAM-10-757, author = {N. Du, J. Shi and W. Liu}, title = {An Effective Gradient Projection Method for Stochastic Optimal Control}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2013}, volume = {10}, number = {4}, pages = {757--774}, abstract = {

In this work, we propose a simple yet effective gradient projection algorithm for a class of stochastic optimal control problems. The basic iteration block is to compute gradient projection of the objective functional by solving the state and co-state equations via some Euler methods and by using the Monte Carlo simulations. Convergence properties are discussed and extensive numerical tests are carried out. Possibility of extending this algorithm to more general stochastic optimal control is also discussed.

}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/594.html} }
TY - JOUR T1 - An Effective Gradient Projection Method for Stochastic Optimal Control AU - N. Du, J. Shi & W. Liu JO - International Journal of Numerical Analysis and Modeling VL - 4 SP - 757 EP - 774 PY - 2013 DA - 2013/10 SN - 10 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/ijnam/594.html KW - stochastic optimal control, numerical method, gradient projection algorithm. AB -

In this work, we propose a simple yet effective gradient projection algorithm for a class of stochastic optimal control problems. The basic iteration block is to compute gradient projection of the objective functional by solving the state and co-state equations via some Euler methods and by using the Monte Carlo simulations. Convergence properties are discussed and extensive numerical tests are carried out. Possibility of extending this algorithm to more general stochastic optimal control is also discussed.

N. Du, J. Shi and W. Liu. (2013). An Effective Gradient Projection Method for Stochastic Optimal Control. International Journal of Numerical Analysis and Modeling. 10 (4). 757-774. doi:
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