The maximum principle for stochastic control problem with Markov chain in progressive structure.
Tian ChenYuanzhuo SongZhen WuPublished in: Syst. Control. Lett. (2022)
Keyphrases
- markov chain
- steady state
- transition probabilities
- finite state
- stationary distribution
- stochastic process
- monte carlo method
- markov model
- state space
- markov process
- monte carlo
- random walk
- transition matrix
- stochastic control
- markov processes
- single server
- queueing systems
- learning algorithm
- state dependent
- optimal control
- probabilistic model
- brownian motion
- machine learning