Stochastic maximum principle for optimal control of SPDEs
Marco FuhrmanYing HuGianmario TessitorePublished in: CoRR (2013)
Keyphrases
- optimal control
- optimal control problems
- brownian motion
- dynamic programming
- control problems
- stochastic control
- risk sensitive
- linear quadratic
- feedback control
- class of nonlinear systems
- infinite horizon
- control strategy
- reinforcement learning
- control law
- production planning
- lyapunov function
- solving nonlinear
- neural network