Stochastic maximum principle for optimal control under uncertainty.
Vicente Rico-RamírezUrmila M. DiwekarPublished in: Comput. Chem. Eng. (2004)
Keyphrases
- optimal control
- optimal control problems
- brownian motion
- control problems
- stochastic nature
- dynamic programming
- stochastic control
- feedback control
- risk sensitive
- reinforcement learning
- control strategy
- class of nonlinear systems
- control law
- linear quadratic
- infinite horizon
- markov processes
- decision theory
- lyapunov function
- approximate dynamic programming
- markov chain