Detalle del congreso

Autores: Justina Gianatti; Bonnans, J. Frédéric; Francisco A. Silva.

Resumen: In this work we analyze an algorithm for solving stochastic control problems, based on Pontryagin?s maximum principle, due to Sakawa and Shindo, and then analyzed by Bonnans, for solving deterministic optimal control problems. This algorithm has been adapted to a class of stochastic optimal control problems by Mazliak. We extend here the analysis of the latter to more general situations. We assume that either the volatility does not depend on the control, or the dynamics are linear. We obtain a monotone decrease of the cost functions as well as, in the convex case, the fact that the sequence of controls is minimizing, and converges to an optimal solution if it is bounded. In a specific case we interpret the algorithm as the gradient plus projection method and obtain a linear convergence rate to the solution.

Tipo de reunión: Workshop.

Producción: On the convergence of the Sakawa-Shindo algorithm in stochastic control.

Reunión científica: V Workshop Latinoamericano en Optimización y Control, LAWOC 2016.

Lugar: Tandil.

Publicado: No

Mes de reunión: 7

Año: 2016.