Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics.
Huyên PhamXiaoli WeiPublished in: SIAM J. Control. Optim. (2017)
Keyphrases
- optimal control
- dynamic programming
- optimal control problems
- brownian motion
- control problems
- continuous stirred tank reactor
- stochastic control
- feedback control
- infinite horizon
- risk sensitive
- class of nonlinear systems
- dynamical systems
- multistage
- dynamic model
- reinforcement learning
- state space
- linear quadratic
- control law
- linear programming
- lyapunov function
- average cost
- stochastic model
- knapsack problem
- greedy algorithm
- tracking error
- control strategy
- hamilton jacobi bellman