A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application.
Xun LiAllen H. TaiFei TianPublished in: Int. J. Control (2021)
Keyphrases
- optimal control
- linear quadratic
- optimal control problems
- closed loop
- control problems
- dynamical systems
- dynamic programming
- feedback control
- control strategy
- vector valued
- reinforcement learning
- gaussian model
- brownian motion
- stochastic control
- infinite horizon
- probability distribution
- neural network
- markov processes
- control system
- kernel function
- probabilistic model