Maximum Principle for Markov Regime-Switching Forward-Backward Stochastic Control System with Jumps and Relation to Dynamic Programming.
Zhongyang SunJunyi GuoXin ZhangPublished in: J. Optim. Theory Appl. (2018)
Keyphrases
- forward backward
- control system
- dynamic programming
- markov chain
- markov processes
- state space
- stochastic process
- hidden markov models
- monte carlo
- fuzzy logic
- markov model
- closed loop
- optimal control
- linear programming
- steady state
- forward and backward
- markov process
- greedy algorithm
- control law
- maximum number
- genetic algorithm
- stereo matching
- semi markov
- scheduling problem
- stochastic optimization
- control algorithm
- control strategy
- stochastic model
- conditional independence
- multistage
- directed acyclic graph
- markov decision processes