An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
Numerical Analysis
2020-07-14 v1 Numerical Analysis
Abstract
In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete stochastic maximum principle (SMP). With the help of this SMP, we propose an effective discrete recursive method for SOCPs with feedback control. We rigorously analyze errors of the proposed method and prove that the cost obtained by our method is of first-order convergence. Numerical experiments are carried out to support our theoretical results.
Cite
@article{arxiv.2007.06266,
title = {An Effective Discrete Recursive Method for Stochastic Optimal Control Problems},
author = {Mingshang Hu and Lianzi Jiang},
journal= {arXiv preprint arXiv:2007.06266},
year = {2020}
}