Convexity and convex approximations of discrete-time stochastic control problems with constraints.
Eugenio CinquemaniMayank AgarwalDebasish ChatterjeeJohn LygerosPublished in: Autom. (2011)
Keyphrases
- control problems
- optimal control
- optimal control problems
- reinforcement learning
- stochastic control
- convex hull
- markov processes
- adaptive control
- continuous state spaces
- queueing systems
- convex optimization
- convexity properties
- convex constraints
- markov chain
- brownian motion
- stochastic model
- digital convexity
- dynamic programming