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An efficient Monte Carlo method for optimal control problems with uncertainty
Cao Y., Hussaini M., Zang T. Computational Optimization and Applications26 (3):219-230,2003.Type:Article
Date Reviewed: Apr 9 2004

After an introduction, describing optimal control problems and their range of application, the authors present a general framework for optimal control with uncertain parameters, and the sensitivity derivative Monte Carlo method (MC). A theorem indicates that the sensitivity derivative method is effective when the variance of the errors is small. The paper also presents an application of the framework to the generalized Burgers equation. In their results and conclusions section, the authors detail the effectiveness of the MC method. The paper concludes with a discussion of the optimal control problem.

Reviewer:  James Van Speybroeck Review #: CR129429 (0410-1199)
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