Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs

doi:10.4208/nmtma.OA-2019-0137

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	Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
	Fu, Yu 1,2,3; Zhao, Weidong 2,3; Zhou, Tao 4,5
	2020-05-01
发表期刊	NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
ISSN	1004-8979
卷号	13 期号:2 页码:296-319
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.
关键词	Forward backward stochastic differential equations stochastic optimal control stochastic maximum principle projected quasi-Newton methods
DOI	10.4208/nmtma.OA-2019-0137
收录类别	SCI
语种	英语
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
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000519598500002
出版者	GLOBAL SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/50917
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.Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China 2.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China 3.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, CMIS, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China 5.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, Inst Computat Math & Sci Engn Comp, Beijing 100190, 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.