A-posteriori QMC-FEM error estimation for Bayesian inversion and optimal control with entropic risk measure.
Marcello LongoChristoph SchwabAndreas SteinPublished in: CoRR (2023)
Keyphrases
- optimal control
- error estimation
- quasi monte carlo
- maximum likelihood
- error estimates
- dynamic programming
- control problems
- model selection
- feedback control
- infinite horizon
- finite element
- class of nonlinear systems
- variance reduction
- control strategy
- optimal control problems
- generalization error
- reinforcement learning
- bayesian networks
- particle filter
- monte carlo
- support vector machine
- machine learning
- neural network
- linear quadratic
- posterior distribution