A Multilevel Monte Carlo Approach for a Stochastic Optimal Control Problem Based on the Gradient Projection Method
A multilevel Monte Carlo (MLMC) method is applied to simulate a stochastic optimal problem based on the gradient projection method. In the numerical simulation of the stochastic optimal control problem, the approximation of expected value is involved, and the MLMC method is used to address it. The c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | AppliedMath |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2673-9909/3/1/8 |