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Gradient method for computing optimal controls for stochastic differential equations

 

作者: N.U. Ahemd,   T.E. Dabbous,   H.W. Wong,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1987）
卷期: Volume 5, issue 2  

页码: 121-150

 

ISSN:0736-2994

 

年代: 1987

 

DOI:10.1080/07362998708809110

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Three techniques are described for solving completely observable stochastic control problems. Known optimality conditions are used to develop gradient–type algorithms. Numerical results are presented for illustration and comparison purposes

 

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