Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem.
Yanbo ChenTianyang NieShujun WangPublished in: Syst. Control. Lett. (2023)
Keyphrases
- optimal control
- dynamic programming
- control problems
- control strategy
- feedback control
- risk sensitive
- infinite horizon
- reinforcement learning
- brownian motion
- class of nonlinear systems
- optimal control problems
- markov random field
- stochastic control
- hamilton jacobi bellman
- markov chain
- dynamical systems
- belief networks
- continuous stirred tank reactor