STOCHASTIC_GRADIENT_ND_NOISE
Optimal Control with Stochastic Noise


STOCHASTIC_GRADIENT_ND_NOISE is a MATLAB program which solves an optimal control problem involving a functional over a system with stochastic noise, by Jeff Borggaard, Catalin Trenchea, Clayton Webster.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

STOCHASTIC_GRADIENT_ND_NOISE is available in a MATLAB version.

Related Data and Programs:

BLACK_SCHOLES, a MATLAB library which implements some simple approaches to the Black-Scholes option valuation theory;;

CNOISE, a MATLAB library which generates samples of noise obeying a 1/f^alpha power law, by Miroslav Stoyanov.

ONED, a MATLAB library which contains functions useful for 1D finite element calculations.

OPTIMAL_CONTROL_1D, a MATLAB program which seeks the optimal control function for a one dimensional system which is represented using the finite element formulation;

PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;

STOCHASTIC_DIFFUSION, MATLAB functions which implement several versions of a stochastic diffusivity coefficient.

Author:

Jeff Borggaard, Catalin Trenchea, Clayton Webster.

Source Code:

Examples and Tests:

You can go up one level to the MATLAB source codes.


Last modified on 18 May 2011.