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

BONNANS, J. FRÉDÉRIC; SILVA, FRANCISCO J.; GIANATTI, JUSTINA

Mathematical Control and Related Fields

American Institute of Mathematical Sciences

Año: 2016 vol. 6 p. 391 - 406

2156-8472

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. In a specific case we interpret the algorithm as the gradient plus projection method and obtain a linear convergence rate to the solution.