Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients.

Published in: SIAM J. Control. Optim. (2015)

Keyphrases

optimal control
dynamic programming
stochastic control
linear quadratic
control problems
brownian motion
special case
queueing systems
infinite horizon
state space
optimal policy
markov decision processes
closed loop
single server
operations management
reinforcement learning
real time