An Efficient Gradient Projection Method for Stochastic Optimal Control Problems

In this work, we propose a simple yet effective gradient projection algorithm for a class of stochastic optimal control problems. We first reduce the optimal control problem to an optimization problem for a convex functional by means of a projection operator. Then we propose a convergent iterative scheme for the optimization problem. The key issue in our iterative scheme is to compute the gradient of the objective functional by solving the adjoint equations that are given by backward stochastic differential equations (BSDEs). The Euler method is used to solve the resulting BSDEs. Rigorous convergence analysis is presented, and it is shown that the entire numerical algorithm admits a first order rate of convergence. Several numerical examples are carried out to support the theoretical finding.