Two-stage stochastic optimal control problem under G-expectation.
Zhuangzhuang XingPublished in: Syst. Control. Lett. (2024)
Keyphrases
- optimal control
- dynamic programming
- stochastic optimization
- control problems
- linear program
- integer programming
- feedback control
- risk sensitive
- infinite horizon
- class of nonlinear systems
- control law
- control strategy
- brownian motion
- risk averse
- lyapunov function
- optimal control problems
- reinforcement learning
- stochastic control
- sufficient conditions
- control system
- objective function