The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions.
Seid BahlaliBoualem DjehicheBrahim MezerdiPublished in: SIAM J. Control. Optim. (2007)
Keyphrases
- optimal control
- brownian motion
- stochastic control
- optimal control problems
- control problems
- dynamic programming
- feedback control
- risk sensitive
- class of nonlinear systems
- infinite horizon
- control strategy
- reinforcement learning
- control law
- linear quadratic
- vector valued
- differential equations
- optimal solution
- machine learning
- real time
- neural network