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Browsing Stochastic Programming E-print Series (SPEPS) by Author "Barty, Kengy"
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2005-07-06BuchA Stochastic Gradient Type Algorithm for Closed Loop Problems Barty, Kengy; Roy, Jean-Sebastien; Strugarek, CyrilleWe focus on solving closed-loop stochastic problems, and propose a perturbed gradient algorithm to achieve this goal. The main hurdle in such problems is the fact that the control variables are infinite dimensional, and ...
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2003-09-30BuchDual effect free stochastic controls Barty, Kengy; Carpentier, P.; Chancelier, J.-P.; Cohen, G.; Lara, M. de; Guilbaud, T.In stochastic optimal control, a key issue is the fact that "solutions" are searched for in terms of "feedback" over available information and, as a consequence, a major potential difficulty is the fact that present control ...