A Neural RDE approach for continuous-time non-Markovian stochastic control problems.
Melker HoglundEmilio FerrucciCamilo HernándezAitor Muguruza GonzalezCristopher SalviLeandro Sánchez-BetancourtYufei ZhangPublished in: CoRR (2023)
Keyphrases
- control problems
- optimal control
- optimal control problems
- reinforcement learning
- stochastic process
- stochastic control
- markov processes
- brownian motion
- state space
- stochastic processes
- markov chain
- queueing systems
- neural network
- dynamic programming
- network architecture
- adaptive control
- continuous state spaces
- infinite horizon
- control strategy
- control policies
- real time
- hamilton jacobi bellman
- markov process
- situation calculus
- decision processes
- control law
- least squares
- stochastic model
- learning algorithm
- model free
- complex systems
- approximate dynamic programming
- stochastic differential equations
- search space