A probabilistic max-plus numerical method for solving stochastic control problems.
Marianne AkianEric FodjoPublished in: CDC (2016)
Keyphrases
- control problems
- numerical methods
- optimal control
- reinforcement learning
- stochastic control
- hamilton jacobi bellman
- adaptive control
- runge kutta
- approximation schemes
- queueing systems
- differential equations
- continuous state spaces
- boundary element method
- brownian motion
- partial differential equations
- level set method
- markov decision processes
- image segmentation
- dynamic programming
- learning algorithm
- finite difference method
- stochastic process
- numerical solution
- nonlinear systems
- data mining
- edge detection
- control method