Monte Carlo methods via a dual approach for some discrete time stochastic control problems.
Lajos Gergely GyurkóB. M. HamblyJan Hendrik WittePublished in: Math. Methods Oper. Res. (2015)
Keyphrases
- monte carlo methods
- control problems
- optimal control
- optimal control problems
- monte carlo
- reinforcement learning
- markov chain
- bayesian networks
- simulated annealing
- monte carlo method
- queueing systems
- stochastic control
- dynamic programming
- control strategy
- markov processes
- continuous state spaces
- neural network
- markov decision processes
- finite state
- brownian motion
- learning algorithm