A Multilevel Monte Carlo Approach for a Stochastic Optimal Control Problem Based on the Gradient Projection Method-Reference-Cited by-同舟云学术

A Multilevel Monte Carlo Approach for a Stochastic Optimal Control Problem Based on the Gradient Projection Method

Published:2023-02-13 Issue:1 Volume:3 Page:98-116
ISSN:2673-9909
Container-title:AppliedMath
language:en
Short-container-title:AppliedMath

Author:

Ye Changlun¹,Luo Xianbing¹^ORCID

Affiliation:

1. South Huaxi Avenue, School of Mathematics and Statistics, Guizhou University, No. 2708, Guiyang 550025, China

Abstract

A multilevel Monte Carlo (MLMC) method is applied to simulate a stochastic optimal problem based on the gradient projection method. In the numerical simulation of the stochastic optimal control problem, the approximation of expected value is involved, and the MLMC method is used to address it. The computational cost of the MLMC method and the convergence analysis of the MLMC gradient projection algorithm are presented. Two numerical examples are carried out to verify the effectiveness of our method.

Funder

National Natural Foundation of China

Publisher

MDPI AG

Link

https://www.mdpi.com/2673-9909/3/1/8/pdf

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