loading
Papers Papers/2022 Papers Papers/2022

Research.Publish.Connect.

Paper

Paper Unlock

Authors: Stephan E. Ludwig 1 ; Justin A. Sirignano 2 ; Ruojun Huang 2 and George Papanicolaou 2

Affiliations: 1 Heidelberg University, Germany ; 2 Stanford University, United States

Keyword(s): Optimal stochastic control, Stochastic maximum principle, Forward-Backward stochastic differential equations.

Abstract: An algorithm for solving continuous-time stochastic optimal control problems is presented. The numerical scheme is based on the stochastic maximum principle (SMP) as an alternative to the widely studied dynamic programming principle (DDP). By using the SMP, (Peng, 1990) obtained a system of coupled forward-backward stochastic differential equations (FBSDE) with an external optimality condition. We extend the numerical scheme of (Delarue and Menozzi, 2006) by a Newton-Raphson method to solve the FBSDE system and the optimality condition simultaneously. As far as the authors are aware, this is the first fully explicit numerical scheme for the solution of optimal control problems through the solution of the corresponding extended FBSDE system. We discuss possible numerical advantages to the DDP approach and consider an optimal investment-consumption problem as an example.

CC BY-NC-ND 4.0

Sign In Guest: Register as new SciTePress user now for free.

Sign In SciTePress user: please login.

PDF ImageMy Papers

You are not signed in, therefore limits apply to your IP address 3.141.7.165

In the current month:
Recent papers: 100 available of 100 total
2+ years older papers: 200 available of 200 total

Paper citation in several formats:
E. Ludwig, S.; A. Sirignano, J.; Huang, R. and Papanicolaou, G. (2012). A FORWARD-BACKWARD ALGORITHM FOR STOCHASTIC CONTROL PROBLEMS - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming. In Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-8425-97-3; ISSN 2184-4372, SciTePress, pages 83-89. DOI: 10.5220/0003885900830089

@conference{icores12,
author={Stephan {E. Ludwig}. and Justin {A. Sirignano}. and Ruojun Huang. and George Papanicolaou.},
title={A FORWARD-BACKWARD ALGORITHM FOR STOCHASTIC CONTROL PROBLEMS - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming},
booktitle={Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES},
year={2012},
pages={83-89},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003885900830089},
isbn={978-989-8425-97-3},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES
TI - A FORWARD-BACKWARD ALGORITHM FOR STOCHASTIC CONTROL PROBLEMS - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming
SN - 978-989-8425-97-3
IS - 2184-4372
AU - E. Ludwig, S.
AU - A. Sirignano, J.
AU - Huang, R.
AU - Papanicolaou, G.
PY - 2012
SP - 83
EP - 89
DO - 10.5220/0003885900830089
PB - SciTePress

- Science and Technology Publications, Lda.
RESOURCES

Proceedings

Papers

Authors

Ontology

CONTACTS

Science and Technology Publications, Lda
Avenida de S. Francisco Xavier, Lote 7 Cv. C,
2900-616 Setúbal, Portugal.

Phone: +351 265 520 185 (National fixed network call)
Fax: +351 265 520 186
Email: info@scitepress.org

EXTERNAL LINKS

PRIMORIS

INSTICC

SCITEVENTS

CROSSREF

PROCEEDINGS SUBMITTED FOR INDEXATION BY:

dblp

Ei Compendex

SCOPUS

Semantic Scholar

Google Scholar

Microsoft Academic