A numerical method for ergodic optimal control of switching diffusions with reflection.
Saul C. LeiteMarcelo D. FragosoPublished in: Eur. J. Control (2024)
Keyphrases
- optimal control
- numerical methods
- brownian motion
- differential equations
- partial differential equations
- control problems
- dynamic programming
- anisotropic diffusion
- feedback control
- markov chain
- class of nonlinear systems
- level set method
- optimal control problems
- control strategy
- infinite horizon
- finite element method
- numerical solution
- boundary element method
- stochastic control
- reinforcement learning
- stationary distribution
- image segmentation