A gradient projection method with least-squares Monte Carlo discretization is proved to converge with first order for control and multiplier in stochastic optimal control with expected integral state constraints, under linear drift.
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An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
A gradient projection method with least-squares Monte Carlo discretization is proved to converge with first order for control and multiplier in stochastic optimal control with expected integral state constraints, under linear drift.