Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems.
Marc AbeilleBruno BouchardLorenzo CroissantPublished in: J. Optim. Theory Appl. (2023)
Keyphrases
- control problems
- optimal control
- stochastic control
- reinforcement learning
- brownian motion
- dynamic programming
- queueing systems
- continuous state spaces
- approximation schemes
- adaptive control
- closed form
- discrete random variables
- optimal solution
- stochastic model
- approximate dynamic programming
- state dependent
- image filtering
- machine learning
- real time
- queueing networks
- mathematical model
- error tolerance
- worst case