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Article


Title

An efficient algorithm for the Stochastic Optimal Control Problems by means of Least-Squares Monte-Carlo MethoD

Authors

[ 1 ] Instytut Inżynierii Bezpieczeństwa i Jakości, Wydział Inżynierii Zarządzania, Politechnika Poznańska | [ P ] employee

Scientific discipline (Law 2.0)

[5.6] Management and quality studies

Year of publication

2021

Published in

Optimization : A Journal of Mathematical Programming and Operations Research

Journal year: 2021 | Journal volume: vol. 2021

Article type

scientific article

Publication language

english

Keywords
EN
  • Stochastic optimal control
  • discrete optimality
  • conditions
  • least-squares Monte-Carlo method
  • Runge–Kutta method
  • optimization
Date of online publication

03.12.2021

DOI

10.1080/02331934.2021.2009824

Points of MNiSW / journal

70.0

Points of MNiSW / journal in years 2017-2021

70.0

Impact Factor

2.360 [List 2020]

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