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

Abstract : 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.
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Pré-publication, Document de travail
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https://hal-unilim.archives-ouvertes.fr/hal-01148272
Contributeur : Francisco José Silva <>
Soumis le : lundi 4 mai 2015 - 12:18:29
Dernière modification le : mercredi 3 juillet 2019 - 10:48:03
Document(s) archivé(s) le : mercredi 19 avril 2017 - 14:24:42

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sashi-version finale.pdf
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  • HAL Id : hal-01148272, version 1

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

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