Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients.
Qingmeng WeiZhiyong YuPublished in: SIAM J. Control. Optim. (2021)
Keyphrases
- optimal control
- linear quadratic
- infinite horizon
- open loop
- closed loop
- feedback control
- forward backward
- finite horizon
- dynamic programming
- optimal policy
- stochastic demand
- control system
- control scheme
- markov decision process
- periodic review
- inventory policy
- markov decision processes
- real time
- vector valued
- reinforcement learning
- inverted pendulum
- long run
- video sequences
- hidden markov models