Discounted linear exponential quadratic Gaussian control.
Lars Peter HansenThomas J. SargentPublished in: IEEE Trans. Autom. Control. (1995)
Keyphrases
- linear complexity
- control system
- linear computational complexity
- linear quadratic
- control method
- semidefinite
- infinite horizon
- closed form
- optimal control
- gaussian densities
- real time
- cash flow
- quadratic function
- statistically independent
- transfer function
- data acquisition
- optimal policy
- maximum likelihood
- probability distribution
- dynamic programming
- computational complexity
- objective function
- reinforcement learning
- neural network