Dynamic programming equations for constrained stochastic control.
Richard C. ChenGilmer L. BlankenshipPublished in: ACC (2002)
Keyphrases
- stochastic control
- dynamic programming
- optimal control
- hamilton jacobi bellman
- control problems
- queueing systems
- brownian motion
- operations management
- differential equations
- state space
- infinite horizon
- reinforcement learning
- mathematical model
- partial differential equations
- bayesian networks
- closed form solutions