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math.OC2022
Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
Shaolin Ji, Rundong Xu
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject…
math.OC2022
Maximum principle for discrete-time stochastic optimal control problem under distribution uncertainty
Mingshang Hu, Shaolin Ji, Xiaojuan Li
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax…
math.OC2022
A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs
Shaolin Ji, Shige Peng, Ying Peng +1
In this paper,we mainly focus on the numerical solution of high-dimensional stochastic optimal control problem driven by fully-coupled forward-backward stochastic differential equa…