Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
文献类型:期刊论文
作者 | Fu, Yu3,4,5; Zhao, Weidong4,5; Zhou, Tao1,2 |
刊名 | NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
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出版日期 | 2020-05-01 |
卷号 | 13期号:2页码:296-319 |
关键词 | Forward backward stochastic differential equations stochastic optimal control stochastic maximum principle projected quasi-Newton methods |
ISSN号 | 1004-8979 |
DOI | 10.4208/nmtma.OA-2019-0137 |
英文摘要 | This work is concerned with numerical schemes for stochastic optimal control problems (SOCPs) by means of forward backward stochastic differential equations (FBSDEs). We first convert the stochastic optimal control problem into an equivalent stochastic optimality system of FBSDEs. Then we design an efficient second order FBSDE solver and an quasi-Newton type optimization solver for the resulting system. It is noticed that our approach admits the second order rate of convergence even when the state equation is approximated by the Euler scheme. Several numerical examples are presented to illustrate the effectiveness and the accuracy of the proposed numerical schemes. |
资助项目 | Natural Science Foundations of Shandong Province[ZR2017BA016] ; National Natural Science Foundations of China[11701335] ; National Natural Science Foundations of China[11571351] ; National Natural Science Foundations of China[11571206] ; National Natural Science Foundations of China[11871068] ; National Natural Science Foundations of China[11831010] ; Science Challenge Project by COSTIND[TZ2018001] ; Science and Technology Plan for Youth Innovation of Colleges and Universities of Shandong Province[2019KJI005] ; SDUST Research Fund[2015TDJH105] ; Scientific Research Foundation of Shandong University of Science and Technology for Recruited Talents[2017RCJJ065] |
WOS研究方向 | Mathematics |
语种 | 英语 |
WOS记录号 | WOS:000519598500002 |
出版者 | GLOBAL SCIENCE PRESS |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/50916] ![]() |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Zhao, Weidong |
作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, CMIS, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China 3.Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China 4.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China 5.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China |
推荐引用方式 GB/T 7714 | Fu, Yu,Zhao, Weidong,Zhou, Tao. Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2020,13(2):296-319. |
APA | Fu, Yu,Zhao, Weidong,&Zhou, Tao.(2020).Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,13(2),296-319. |
MLA | Fu, Yu,et al."Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 13.2(2020):296-319. |
入库方式: OAI收割
来源:数学与系统科学研究院
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