A Backward Simulation Method for Stochastic Optimal Control Problems

• Published in: arXiv.org
• Main Authors: Shen, Zhiyi, Weng, Chengguo
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 20.01.2019
• Subjects: Algorithms; Computer simulation; Mathematical models; Numerical methods; Optimal control; Simulation; Stochastic processes

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control problems as analytical solutions are not tractable in ge...