Optimal control of stochastic hybrid system with jumps: A numerical approximation.
Büsra Zeynep TemoçinGerhard-Wilhelm WeberPublished in: J. Comput. Appl. Math. (2014)
Keyphrases
- optimal control
- optimal control problems
- solving partial differential equations
- brownian motion
- control problems
- dynamic programming
- stochastic control
- control strategy
- reinforcement learning
- feedback control
- markov chain
- risk sensitive
- infinite horizon
- class of nonlinear systems
- linear quadratic
- control law
- lyapunov function
- monte carlo
- stochastic process
- approximation methods
- continuous functions
- markov processes
- finite difference
- solving nonlinear
- partial differential equations
- control system
- piecewise constant
- artificial neural networks