Dynamic Programming Equation for the Mean Field Optimal Stopping Problem.
Mehdi TalbiNizar TouziJianfeng ZhangPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- optimal stopping
- dynamic programming
- finite horizon
- brownian motion
- infinite horizon
- optimal policy
- optimal control
- differential equations
- markov decision processes
- multistage
- state space
- stereo matching
- markov random field
- linear programming
- closed form
- em algorithm
- bayesian inference
- closed form solutions
- search space
- mathematical model
- diffusion process
- average cost
- special case