Impulse Control of Brownian Motion: The Constrained Average Cost Case.
Melda Ormeci MatogluJim G. DaiJohn H. Vande VatePublished in: Oper. Res. (2008)
Keyphrases
- brownian motion
- optimal control
- average cost
- infinite horizon
- control strategy
- dynamic programming
- long run
- markov decision processes
- stochastic process
- reinforcement learning
- finite horizon
- finite number
- heavy traffic
- diffusion process
- differential equations
- finite state
- markov decision chains
- machine learning
- initial state
- vector valued
- linear program
- linear programming