{"title":"Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs","authors":"Yanqing Wang","doi":"10.1093/imamci/dnab031","DOIUrl":null,"url":null,"abstract":"In this work, a time-implicit discretization for stochastic linear quadratic problems subject to stochastic differential equations with control-dependence noises is proposed, and the convergence rate of this discretization is proved. Compared to the existing results, the control variables are stochastic processes and can be contained in systems’ diffusion term. Based on this discretization, a gradient descent algorithm and its convergence rate are presented. Finally, a numerical example is provided to support the theoretical finding.","PeriodicalId":56128,"journal":{"name":"IMA Journal of Mathematical Control and Information","volume":"38 4","pages":"1148-1173"},"PeriodicalIF":1.6000,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"IMA Journal of Mathematical Control and Information","FirstCategoryId":"94","ListUrlMain":"https://ieeexplore.ieee.org/document/9646589/","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 3
Abstract
In this work, a time-implicit discretization for stochastic linear quadratic problems subject to stochastic differential equations with control-dependence noises is proposed, and the convergence rate of this discretization is proved. Compared to the existing results, the control variables are stochastic processes and can be contained in systems’ diffusion term. Based on this discretization, a gradient descent algorithm and its convergence rate are presented. Finally, a numerical example is provided to support the theoretical finding.
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