On the Fourier cosine series expansion method for stochastic control problems.
Marjon J. RuijterCornelis W. OosterleeR. F. T. AalbersPublished in: Numer. Linear Algebra Appl. (2013)
Keyphrases
- control problems
- optimal control
- stochastic control
- reinforcement learning
- continuous state spaces
- adaptive control
- queueing systems
- frequency domain
- fourier transform
- control strategy
- euclidean distance
- brownian motion
- feature vectors
- series expansion
- vector space
- reinforcement learning methods
- hamilton jacobi bellman
- real time
- markov processes