TY - JOUR
T1 - An Effective Gradient Projection Method for Stochastic Optimal Control
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 - <p style="text-align: justify;">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.</p>