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Iterations for solving a rational Riccati equation arising in stochastic control.
Ivan Ganchev Ivanov
Published in:
Comput. Math. Appl. (2007)
Keyphrases
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hamilton jacobi bellman
stochastic control
optimal control
control problems
queueing systems
brownian motion
operations management
differential equations
hamilton jacobi
dynamic programming
partial differential equations
machine learning
reinforcement learning
optimal solution
dynamical systems