Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton--Jacobi--Bellman Equation.
Zhen WuZhiyong YuPublished in: SIAM J. Control. Optim. (2008)
Keyphrases
- hamilton jacobi bellman
- optimal control
- dynamic programming
- optimal control problems
- stochastic control
- control problems
- brownian motion
- state space
- infinite horizon
- linear quadratic
- reinforcement learning
- linear programming
- control law
- control strategy
- optimal policy
- linear program
- real time
- average cost
- markov decision processes
- denoising