A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes.
Zhen HuangYing WangXiangrong WangPublished in: J. Syst. Sci. Complex. (2022)
Keyphrases
- optimal control
- forward backward
- optimal control problems
- control law
- control system
- control strategy
- brownian motion
- control problems
- dynamic programming
- risk sensitive
- hamilton jacobi bellman
- stochastic control
- feedback control
- stochastic processes
- hidden markov models
- linear quadratic
- closed loop
- monte carlo
- infinite horizon
- adaptive control
- control theory
- reinforcement learning
- control method
- control scheme
- control algorithm
- neural network
- class of nonlinear systems
- lyapunov function
- belief networks
- closed form
- probability distribution
- nonlinear systems
- fractional brownian motion
- markov random field
- continuous stirred tank reactor