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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization.

Idris KharroubiNicolas LangrenéHuyên Pham
Published in: Monte Carlo Methods Appl. (2014)
Keyphrases
  • learning algorithm
  • dynamic programming
  • optimal control
  • control system
  • linear programming
  • mathematical model
  • convergence rate
  • machine learning
  • reinforcement learning
  • finite difference