A Multilevel Monte Carlo Approach for a Stochastic Optimal Control Problem Based on the Gradient Projection Method
نویسندگان
چکیده
A multilevel Monte Carlo (MLMC) method is applied to simulate a stochastic optimal problem based on the gradient projection method. In numerical simulation of control problem, approximation expected value involved, and MLMC used address it. The computational cost convergence analysis algorithm are presented. Two examples carried out verify effectiveness our
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ژورنال
عنوان ژورنال: AppliedMath
سال: 2023
ISSN: ['2673-9909']
DOI: https://doi.org/10.3390/appliedmath3010008