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An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems · Study

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ArticleAn Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems

Richard K. Archibald2020

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Articlegreen2020

An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems

Richard K. Archibald · Feng Bao · Jiongmin Yong

30 citations·0/0 files stored·Journal of Scientific Computing

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Stochastic processes and financial applications Advanced Control Systems Optimization Adaptive Dynamic Programming Control

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References

1990A General Stochastic Maximum Principle for Optimal Control Problems 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 2012Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions 1982Optimal Control for Partially Observed Diffusions 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations 2006A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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2021Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation 2021A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model

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Year2020

Typearticle

Published2020-11-01

VenueJournal of Scientific Computing

ISSN-L0885-7474

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10915-020-01358-y

openalex_workW3032939769

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