An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation.
Guangchen WangHua XiaoGuojing XingPublished in: Autom. (2017)
Keyphrases
- optimal control
- forward backward
- brownian motion
- stochastic differential equations
- hidden markov models
- control strategy
- dynamic programming
- markov random field
- reinforcement learning
- optimal control problems
- closed form
- maximum a posteriori estimation
- infinite horizon
- fractional brownian motion
- em algorithm
- mixture model
- queue length