2 papers
math.OC2020
A modified MSA for stochastic control problems
Bekzhan Kerimkulov, David Šiška, Łukasz Szpruch
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is…
math.OC2018
Exponential Convergence and stability of Howards's Policy Improvement Algorithm for Controlled Diffusions
B. Kerimkulov, D. Šiška, Ł. Szpruch
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howa…