Numerical solution of the finite horizon stochastic linear quadratic control problem.
Tobias DammHermann MenaTony StillfjordPublished in: Numer. Linear Algebra Appl. (2017)
Keyphrases
- numerical solution
- linear quadratic
- finite horizon
- optimal control
- infinite horizon
- dynamical systems
- differential equations
- closed loop
- optimal policy
- vector valued
- average cost
- control strategy
- markov decision processes
- partial differential equations
- finite element
- dynamic programming
- control system
- markov decision process
- numerical methods
- multiscale
- gaussian model
- image processing
- linear programming
- image segmentation
- image analysis
- control method
- real time
- graphical models
- maximum likelihood