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Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format.

Konstantin FackeldeyMathias OsterLeon SallandtReinhold Schneider
Published in: Multiscale Model. Simul. (2022)
Keyphrases
  • feedback control
  • optimal control
  • policy iteration
  • closed loop
  • adaptive control
  • objective function
  • least squares
  • markov decision processes
  • fixed point
  • brownian motion
  • stochastic differential equations