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On the convergence of the Sakawa-Shindo algorithm in stochastic control

J. F. Bonnans (Frederic.Bonnans***at***inria.fr)
J. Gianatti (justinagianatti***at***gmail.com)
F. J. Silva (francisco.silva***at***unilim.fr)

Abstract: We analyze an algorithm for solving stochastic control problems, based on Pontryagin's maximum principle, due to Sakawa and Shindo in the deterministic case and extended to the stochastic setting by Mazliak. We assume that either the volatility is an affine function of the state, or the dynamics are linear. We obtain a monotone decrease of the cost functions as well as, in the convex case, the fact that the sequence of controls is minimizing, and converges to an optimal solution if it is bounded.

Keywords: Stochastic control, first order algorithm, descent method

Category 1: Other Topics (Other )

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Entry Submitted: 05/03/2015
Entry Accepted: 05/03/2015
Entry Last Modified: 05/03/2015

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