Particle Methods For Stochastic Optimal Control Problems

Details Particle Methods For Stochastic Optimal Control Problems Particle Methods For Stochastic Optimal Control Problems

2009-07-27

arxiv.org/abs/0907.4663v1

Mathematics

Optimization and Control

Scientific paper

To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations of the control problem, an algebraic and a functional one from which we derive optimality conditions. An adaptative mesh discretization method will be used to propose a tractable solution algorithm. An application to a hydro-electric dam production management problem will be presented.

Affiliated with

Also associated with

No associations

Rating

Particle Methods For Stochastic Optimal Control Problems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Particle Methods For Stochastic Optimal Control Problems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Particle Methods For Stochastic Optimal Control Problems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-246249