Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration.
Philipp A. GuthVesa KaarniojaFrances Y. KuoClaudia SchillingsIan H. SloanPublished in: Numerische Mathematik (2024)
Keyphrases
- optimal control
- feedback control
- control problems
- quasi monte carlo
- dynamic programming
- control strategy
- class of nonlinear systems
- partial differential equations
- infinite horizon
- optimal control problems
- reinforcement learning
- monte carlo
- control law
- multiscale
- level set
- learning algorithm
- variance reduction
- conditional probabilities
- optimal solution
- stochastic control
- linear quadratic
- real time