The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps.
Yueyang ZhengJingtao ShiPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- optimal control
- partially observed
- forward backward
- stochastic systems
- control problems
- dynamic programming
- hidden markov models
- reinforcement learning
- control strategy
- stochastic models
- optimal control problems
- confidence intervals
- markov chain
- sample path
- infinite horizon
- policy iteration
- control law
- control system
- closed loop
- model selection
- real time