This paper focuses on finding approximate solutions to the stochastic optimal control problems where the state trajectory is subject to controlled stochastic differential equations permitting controls in the diffusion coefficients. An algorithm based on the method of successive approximations is described for finding a set of small measure, in which the control is varied finitely so as to reduce the value of the functional and, as the control domains are not necessarily convex, the second-order adjoint processes are introduced in each minimization step of the Hamiltonian. Under certain convexity conditions, we prove that the values of the cost functional descend to the global minimum as the number of iterations tends to infinity. In particular, a convergence rate for a class of linear-quadratic systems is available.
翻译:本文的重点是,在国家轨迹受到受控制的随机差分方程管制的情况下,找到能够控制扩散系数的随机最佳控制问题的近似解决办法。根据连续近似法描述一种算法,以寻找一套小的计量方法,其中控制有一定的差别,以降低功能值,由于控制领域不一定是连接的,因此在汉密尔顿群岛的每个步骤中都引入了二级联合程序。在某些交融条件下,我们证明成本功能值随着迭代次数的多寡而降至全球最低值。特别是,可以找到线性水晶系统类别的趋同率。