Conversion of a Class of Stochastic Control Problems to Fundamental-Solution Deterministic Control Problems.

William M. McEneaney Peter M. Dower

Published in: ACC (2020)

Keyphrases

control problems
optimal control
reinforcement learning
hamilton jacobi bellman
stochastic control
adaptive control
queueing systems
continuous state spaces
mathematical model
dynamic programming
closed form
stochastic optimization problems
optimal solution
state space
stochastic process
brownian motion