A collocation-based approach to solve the finite horizon Hamilton-Jacobi-Bellman equation.
Michael MercurioNagavenkat AdurthiPuneet SinglaManoranjan MajjiPublished in: ACC (2016)
Keyphrases
- hamilton jacobi bellman
- finite horizon
- optimal control
- infinite horizon
- stochastic control
- control problems
- nonlinear systems
- optimal policy
- average cost
- dynamic programming
- markov decision processes
- multistage
- reinforcement learning
- production planning
- brownian motion
- control strategy
- control law
- real time
- operations management