Numerical methods in ergodic optimal stochastic control and application
作者： F. Campillo , E. Pardoux
DOI: 10.1007/BFB0007048
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摘要: In Campillo [4] we presented a numerical algorithm for the computation of optimal feedback law in an ergodic stochastic control problem. This method, based on discretization associated Hamilton-Jacobi-Bellman equation, can be used only low dimensions (2,4, or 6 parallel computer). For higher dimensional problems, propose here to use gradient order find within given subclass parametrized controls. As is [4], apply these techniques semi-active suspensions road vehicles.
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