Minimal Truncation Error Constants for Runge-Kutta Method for Stochastic Optimal Control Problems
| dc.contributor.author | Bakan, Hacer Oz | |
| dc.contributor.author | Bakan, Hacer Öz | |
| dc.contributor.author | Yilmaz, Fikriye | |
| dc.contributor.author | Weber, Gerhard-Wilhelm | |
| dc.contributor.author | Bakan, Hacer Öz | |
| dc.contributor.other | Mathematics | |
| dc.contributor.other | Mathematics | |
| dc.date.accessioned | 2024-07-05T15:27:32Z | |
| dc.date.available | 2024-07-05T15:27:32Z | |
| dc.date.issued | 2018 | |
| dc.description | Yılmaz, Fikriye/0000-0003-0002-9201; OZ BAKAN, HACER/0000-0001-8090-5552; Weber, Gerhard-Wilhelm/0000-0003-0849-7771 | en_US |
| dc.description.abstract | In this work, we obtain strong order-1 conditions with minimal truncation error constants of Runge-Kutta method for the optimal control of stochastic differential equations (SDEs). We match Stratonovich-Taylor expansion of the exact solution with Stratonovich-Taylor expansion of our approximation method that is defined by the Runge-Kutta scheme, term by term, in order to get the strong order-1 conditions. By a conclusion and an outlook to future research, the paper ends. (C) 2017 Elsevier B.V. All rights reserved. | en_US |
| dc.identifier.doi | 10.1016/j.cam.2017.10.011 | |
| dc.identifier.issn | 0377-0427 | |
| dc.identifier.issn | 1879-1778 | |
| dc.identifier.scopus | 2-s2.0-85032482891 | |
| dc.identifier.uri | https://doi.org/10.1016/j.cam.2017.10.011 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/2687 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Journal of Computational and Applied Mathematics | |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Optimal control | en_US |
| dc.subject | Runge-Kutta method | en_US |
| dc.subject | Stochastic differential equation | en_US |
| dc.subject | Stratonovich-Taylor expansion | en_US |
| dc.subject | Numerical solution | en_US |
| dc.subject | Minimal truncation error | en_US |
| dc.title | Minimal Truncation Error Constants for Runge-Kutta Method for Stochastic Optimal Control Problems | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Yılmaz, Fikriye/0000-0003-0002-9201 | |
| gdc.author.id | OZ BAKAN, HACER/0000-0001-8090-5552 | |
| gdc.author.id | Weber, Gerhard-Wilhelm/0000-0003-0849-7771 | |
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| gdc.author.wosid | Yılmaz, Fikriye/AAX-1508-2020 | |
| gdc.author.wosid | Weber, Gerhard-Wilhelm/V-2046-2017 | |
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| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Bakan, Hacer Oz] Atilim Univ, Dept Math, TR-06830 Ankara, Turkey; [Yilmaz, Fikriye] Gazi Univ, Dept Math, TR-06500 Ankara, Turkey; [Weber, Gerhard-Wilhelm] Middle East Tech Univ, Inst Appl Math, TR-06800 Ankara, Turkey | en_US |
| gdc.description.endpage | 207 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 196 | en_US |
| gdc.description.volume | 331 | en_US |
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| gdc.oaire.keywords | Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations | |
| gdc.oaire.keywords | Numerical optimization and variational techniques | |
| gdc.oaire.keywords | optimal control | |
| gdc.oaire.keywords | Optimal stochastic control | |
| gdc.oaire.keywords | Runge-Kutta method | |
| gdc.oaire.keywords | stochastic differential equation | |
| gdc.oaire.keywords | minimal truncation error | |
| gdc.oaire.keywords | Stratonovich-Taylor expansion | |
| gdc.oaire.keywords | Control/observation systems governed by ordinary differential equations | |
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| gdc.virtual.author | Bakan, Hacer Öz | |
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