On the convergence of the Sakawa-Shindo algorithm in stochastic control

Frédéric J. Bonnans (1, 2) , Justina Gianatti (3) , Francisco José Silva (4)

1 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
3 CIFASIS - Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas
4 XLIM-DMI - DMI

We analyze an algorithm for solving stochastic control problems, based on Pontrya-gin's maximum principle, due to Sakawa and Shindo in the deterministic case and extended to the stochastic setting by Mazliak. We assume that either the volatility is an affine function of the state, 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.

Domaines: Optimisation et contrôle [math.OC]

Frédéric J. Bonnans, Justina Gianatti, Francisco José Silva. On the convergence of the Sakawa-Shindo algorithm in stochastic control. 2015. ⟨hal-01148272v1⟩