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Numerical aspects of monotone approximations in convex stochastic control problems.
Onésimo Hernández-Lerma
C. Piovesan
Wolfgang J. Runggaldier
Published in:
Ann. Oper. Res. (1995)
Keyphrases
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control problems
optimal control
reinforcement learning
stochastic control
adaptive control
continuous state spaces
numerical methods
queueing systems
convex optimization
dynamic programming
brownian motion
convex hull
upper bound
least squares
stochastic model
hamilton jacobi bellman