Game-theoretic and risk-sensitive stochastic optimal control via forward and backward stochastic differential equations.
Ioannis ExarchosEvangelos A. TheodorouPanagiotis TsiotrasPublished in: CDC (2016)
Keyphrases
- risk sensitive
- forward and backward
- game theoretic
- stochastic differential equations
- optimal control
- brownian motion
- dynamic programming
- game theory
- decision problems
- utility function
- maximum a posteriori estimation
- markov decision processes
- nash equilibrium
- optimal policy
- model free
- reinforcement learning
- trust model
- expected utility
- greedy search
- infinite horizon
- control strategy
- average cost
- decision theoretic
- resource allocation