A Simulation Study on Turnpikes in Stochastic LQ Optimal Control.

Ruchuan Ou Michael Heinrich Baumann Lars Grüne Timm Faulwasser

Published in: CoRR (2020)

Keyphrases

optimal control
simulation study
optimal control problems
brownian motion
monte carlo

dynamic programming
control problems
stochastic control
infinite horizon
control strategy

risk sensitive
class of nonlinear systems
feedback control
linear quadratic
lyapunov function

control law
reinforcement learning
policy gradient
stochastic model
np hard