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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.11239 |
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Table of Contents:
- This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two distinct approaches, the open-loop and closed-loop ones, are developed to ensure convergence rates in the fully discrete setting. The open-loop approach, utilizing the finite element method for spatial discretization and the Euler method for temporal discretization, addresses the complexities of coupled forward-backward SPDEs and employs a gradient descent framework suited for high-dimensional spaces. Separately, the closed-loop approach applies a feedback strategy, focusing on Riccati equation for spatio-temporal discretization. Both approaches are rigorously designed to handle the challenges of fully discrete SLQ problems, providing rigorous convergence rates and computational frameworks.