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math.OC2026
An Effective Particle Gradient Projection Method for Solving Stochastic and Mean Field Control Problem
Hui Sun
This work puts forward a novel numerical approach for solving the stochastic optimal control problem (SOCP) and the mean field control (MFC) problem using projection algorithm insp…
math.OC2025
Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle
Hui Sun, Feng Bao
In this work, we study the stochastic optimal control problem (SOC) mainly from the probabilistic view point, i.e. via the Stochastic Maximum principle (SMP) \cite{Peng4}. We adopt…