Preprint
Oct 2026
Douglas-Rachford splitting method for nonconvex stochastic optimal control
Motivated by the numerical resolution of stochastic optimal control problems, particularly those involving nonlinear dynamics, we investigate the convergence properties of the Douglas-Rachford splitting algorithm in a nonconvex and infinite-dimensional setting. We introduce an extension of the method that applies when...
François Caffier, P. Malisani, Laurent Pfeiffer
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