A Parallel Modified Lagrangian Method for an Optimal Control Problem of a Linear Distributed Stochastic System.
Thomas PohlWilfried GreckschHolger BlaarPublished in: Monte Carlo Methods Appl. (1998)
Keyphrases
- optimal control
- optimal control problems
- linear quadratic
- brownian motion
- dynamic programming
- control problems
- feedback control
- control strategy
- infinite horizon
- stochastic control
- reinforcement learning
- control law
- lagrangian method
- solving nonlinear
- control theory
- control system
- stochastic process
- gaussian model
- kernel function
- computational complexity
- lyapunov stability
- machine learning