The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games.
Thordur RunolfssonPublished in: IEEE Trans. Autom. Control. (1994)
Keyphrases
- stochastic systems
- optimal control
- infinite horizon
- sample path
- policy iteration
- stochastic models
- lost sales
- dynamic programming
- finite horizon
- stochastic demand
- production planning
- control strategy
- periodic review
- confidence intervals
- partially observable
- single item
- average cost
- markov decision process
- reinforcement learning
- holding cost
- stochastic processes
- control law
- inventory control
- machine learning
- stochastic model
- inventory systems
- linear programming
- graphical models
- control system