Stochastic Optimal Control Using the Polynomial Chaos Method
The goal of my research project is to solve stochastic optimal control problems numerically using the polynomial chaos approach. The idea of this method is to approximate the stochastic dynamics driving our problems by expanding the stochastic differential equation into a (mostly infinite-dimensional) system of deterministic (ordinary) differential equations. A finite truncation of this system can then be solved efficiantly by state of the art optimal control methods and solvers.