A Numerical Method for Solving Singular Stochastic Control Problems.
Sunil KumarKumar MuthuramanPublished in: Oper. Res. (2004)
Keyphrases
- control problems
- stochastic control
- numerical methods
- hamilton jacobi bellman
- optimal control
- differential equations
- brownian motion
- reinforcement learning
- queueing systems
- partial differential equations
- runge kutta
- adaptive control
- continuous state spaces
- boundary element method
- approximation schemes
- operations management
- finite element method
- numerical solution
- denoising
- machine learning