Gradient method for computing optimal controls for stochastic differential equations

Gradient method for computing optimal controls for stochastic differential equations

Three techniques are described for solving completely observable stochastic control problems. Known optimality conditions are used to develop gradient-type algorithms. Numerical results are presented for illustration and comparison purposes

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Veröffentlicht in:Stochastic analysis and applications 1987-01, Vol.5 (2), p.121-150
Hauptverfasser: Ahemd, N.U., Dabbous, T.E., Wong, H.W.
Format: Artikel
Sprache:eng
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Zusammenfassung:Three techniques are described for solving completely observable stochastic control problems. Known optimality conditions are used to develop gradient-type algorithms. Numerical results are presented for illustration and comparison purposes
ISSN:0736-2994
1532-9356
DOI:10.1080/07362998708809110