| Title | An Efficient Gradient Projection Method for Stochastic Optimal Control Problem with Expected Integral State Constraint |
| Creator | |
| Date Issued | 2025-03-01 |
| Source Publication | Journal of Scientific Computing
 |
| ISSN | 0885-7474 |
| Volume | 102Issue:3 |
| Abstract | In this work, we present an efficient gradient projection method for solving a class of stochastic optimal control problem with expected integral state constraint. The first order optimality condition system consisting of forward-backward stochastic differential equations and a variational equation is first derived. Then, an efficient gradient projection method with linear drift coefficient is proposed where the state constraint is guaranteed by constructing specific multiplier. Further, the Euler method is used to discretize the forward-backward stochastic differential equations and the associated conditional expectations are approximated by the least square Monte Carlo method, yielding the fully discrete iterative scheme. Error estimates of control and multiplier are presented, showing that the method admits first order convergence. Finally, we present numerical examples to support the theoretical findings. |
| Keyword | Backward stochastic differential equation Expected integral state constraint Gradient projection method Least square Monte Carlo Stochastic optimal control |
| DOI | 10.1007/s10915-024-02777-x |
| URL | View source |
| Language | 英语English |
| Scopus ID | 2-s2.0-85217441184 |
| Citation statistics | |
| Document Type | Journal article |
| Identifier | http://repository.uic.edu.cn/handle/39GCC9TT/12500 |
| Collection | Beijing Normal-Hong Kong Baptist University |
| Corresponding Author | Liu，Wenbin |
| Affiliation | 1.School of Mathematical Sciences,Beijing Normal University,Zhuhai,519087,China 2.Research Center for Mathematics,Beijing Normal University,Zhuhai,519087,China 3.Faculty of Business and Management,Beijing Normal University-Hong Kong Baptist University United International College,Zhuhai,519087,China |
| Corresponding Author Affilication | Beijing Normal-Hong Kong Baptist University |
| Recommended Citation GB/T 7714 | Wang，Qiming,Liu，Wenbin. An Efficient Gradient Projection Method for Stochastic Optimal Control Problem with Expected Integral State Constraint[J]. Journal of Scientific Computing, 2025, 102(3). |
| APA | Wang，Qiming, & Liu，Wenbin. (2025). An Efficient Gradient Projection Method for Stochastic Optimal Control Problem with Expected Integral State Constraint. Journal of Scientific Computing, 102(3). |
| MLA | Wang，Qiming,et al."An Efficient Gradient Projection Method for Stochastic Optimal Control Problem with Expected Integral State Constraint". Journal of Scientific Computing 102.3(2025). |
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