Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions.
Weiyin FeiPublished in: Cybern. Syst. (2014)
Keyphrases
- optimal control
- stochastic systems
- decision making
- stochastic models
- control problems
- dynamic programming
- decision makers
- control strategy
- sample path
- reinforcement learning
- infinite horizon
- confidence intervals
- control law
- policy iteration
- stochastic processes
- asymptotic analysis
- average cost
- real time
- multistage
- markov chain
- machine learning