A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
نویسندگان
چکیده
منابع مشابه
A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
We present a numerical method for finite-horizon stochastic optimal control models. We derive a stochastic minimum principle (SMP) and then develop a numerical method based on the direct solution of the SMP. The method combines Monte Carlo pathwise simulation and non-parametric interpolation methods.Wepresent results froma standard linear quadratic controlmodel, and a realistic case study that ...
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ژورنال
عنوان ژورنال: Automatica
سال: 2013
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2013.02.053