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Numerical Method for Ergodic Optimal Control Problems of Switching Stochastic Differential Equations with Reflection.
Saul C. Leite
Marcelo D. Fragoso
Published in:
CDC (2020)
Keyphrases
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numerical methods
optimal control problems
brownian motion
differential equations
stochastic differential equations
optimal control
dynamical systems
control theory
numerical solution
markov chain
partial differential equations
multiscale
dynamic programming
maximum a posteriori estimation
higher order