A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control

We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively reduce the dimension in the proposed algorithm, which improves computational time and memory constraints. Numerical examples which demonstrate the effectiveness of our method are provided

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Year of publication:	2010
Authors:	Chavanasporn, Walailuck
Other Persons:	Ewald, Christian-Oliver (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Kontrolltheorie \| Control theory \| Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Numerisches Verfahren \| Numerical analysis

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Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 18, 2010 erstellt
Other identifiers:	10.2139/ssrn.1645006 [DOI]
Classification:	C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013140127