An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem.
Jinghao ZhuKangdi LiPublished in: Optim. Methods Softw. (2003)
Keyphrases
- differential equations
- feed forward artificial neural networks
- brownian motion
- optimal control problems
- fractional order
- dynamical systems
- optimal control
- numerical solution
- partial differential equations
- numerical methods
- ordinary differential equations
- genetic algorithm
- steady state
- stochastic process
- runge kutta