论文标题
一种有效的离散递归方法，用于随机最佳控制问题
An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
论文作者
论文摘要
在本文中，我们研究了随机最佳控制问题（SECP）的数值方法。通过将最佳控制问题减少到离散情况下，我们得出了离散的随机最大原理（SMP）。在此SMP的帮助下，我们为通过反馈控制的SECPS提出了一种有效的离散递归方法。我们严格地分析了所提出的方法的错误，并证明我们方法获得的成本是一阶收敛性。进行数值实验以支持我们的理论结果。
In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete stochastic maximum principle (SMP). With the help of this SMP, we propose an effective discrete recursive method for SOCPs with feedback control. We rigorously analyze errors of the proposed method and prove that the cost obtained by our method is of first-order convergence. Numerical experiments are carried out to support our theoretical results.
