An Efficient Gradient Projection Method for Stochastic Optimal Control Problems

SIAM Journal on Numerical Analysis ◽

10.1137/17m1123559 ◽

2017 ◽

Vol 55 (6) ◽

pp. 2982-3005 ◽

Author(s):

Bo Gong ◽

Wenbin Liu ◽

Tao Tang ◽

Weidong Zhao ◽

Tao Zhou

Keyword(s):

Optimal Control ◽

Projection Method ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems

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On ${\text{L}}^2 $ Sufficient Conditions and the Gradient Projection Method for Optimal Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/s0363012994266127 ◽

1996 ◽

Vol 34 (4) ◽

pp. 1270-1290 ◽

Author(s):

J. C. Dunn

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Sufficient Conditions ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems

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Mesh Independence of the Gradient Projection Method for Optimal Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/0330029 ◽

1992 ◽

Vol 30 (2) ◽

pp. 477-493 ◽

Author(s):

C. T. Kelley ◽

E. W. Sachs

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems ◽

Mesh Independence

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On the Gradient Projection Method for Optimal Control Problems with Nonnegative $\mathcal{L}^2 $ Inputs

SIAM Journal on Control and Optimization ◽

10.1137/s0363012992233652 ◽

1994 ◽

Vol 32 (2) ◽

pp. 516-537 ◽

Author(s):

T. Tian ◽

J. C. Dunn

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems

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Approximate Gradient Projection Method with Runge-Kutta Schemes for Optimal Control Problems

Computational Optimization and Applications ◽

10.1023/b:coap.0000039490.61195.86 ◽

2004 ◽

Vol 29 (1) ◽

pp. 91-115 ◽

Author(s):

I. Chryssoverghi ◽

J. Coletsos ◽

B. Kokkinis

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems ◽

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Convergence of the gradient projection method in optimal control problems

Computational Mathematics and Modeling ◽

10.1007/s10598-007-0015-y ◽

2007 ◽

Vol 18 (2) ◽

pp. 148-156 ◽

Author(s):

M. S. Nikol’skii

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems

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MGOPT with gradient projection method for solving bilinear elliptic optimal control problems

Computing ◽

10.1007/s00607-009-0073-4 ◽

2009 ◽

Vol 87 (1-2) ◽

pp. 21-33 ◽

Author(s):

Michelle Vallejos

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems ◽

Elliptic Optimal Control Problems ◽

Elliptic Optimal Control

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Progressively Refining Discrete Gradient Projection Method for Semilinear Parabolic Optimal Control Problems

Lecture Notes in Computer Science - Numerical Analysis and Its Applications ◽

10.1007/978-3-540-31852-1_28 ◽

2005 ◽

pp. 240-248

Author(s):

Ion Chryssoverghi

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems ◽

Discrete Gradient ◽

Parabolic Optimal Control ◽

Semilinear Parabolic

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On the convergence of the gradient projection method for convex optimal control problems with bang–bang solutions

Computational Optimization and Applications ◽

10.1007/s10589-018-9981-6 ◽

2018 ◽

Vol 70 (1) ◽

pp. 221-238 ◽

Author(s):

J. Preininger ◽

P. T. Vuong

Keyword(s):

Optimal Control ◽

Projection Method ◽

Optimal Control Problems ◽

Gradient Projection ◽

Gradient Projection Method ◽

Control Problems

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Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems

Systems & Control Letters ◽

10.1016/j.sysconle.2011.10.003 ◽

2012 ◽

Vol 61 (1) ◽

pp. 143-147 ◽

Author(s):

J. Frédéric Bonnans ◽

Francisco J. Silva

Keyword(s):

Optimal Control ◽

Error Estimates ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Barrier Method ◽

Linear Quadratic ◽

Logarithmic Barrier

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Stochastic optimal control problems under G-expectation

Optimal Control Applications and Methods ◽

10.1002/oca.2012 ◽

2011 ◽

Vol 34 (1) ◽

pp. 96-110 ◽

Author(s):

Defei Zhang

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Control Problems

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