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.


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


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.


Jeff Borggaard, Catalin Trenchea, Clayton Webster.

Source Code:

Examples and Tests:

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Last modified on 18 May 2011.