Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises.
Guangchen WangZhen WuJie XiongPublished in: SIAM J. Control. Optim. (2013)
Keyphrases
- forward backward
- control system
- state transition
- monte carlo
- hidden markov models
- machine learning
- state space
- probability distribution
- search algorithm
- lower bound
- real time
- objective function
- multiscale
- decision trees
- dynamic environments
- theoretical framework
- artificial intelligence
- databases
- state dependent
- control policies
- data sets