General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations.
Shanjian TangPublished in: SIAM J. Control. Optim. (2003)
Keyphrases
- stochastic control
- optimal control
- linear quadratic
- control problems
- brownian motion
- dynamic programming
- closed form solutions
- queueing systems
- reinforcement learning
- differential equations
- closed loop
- vector valued
- operations management
- dynamical systems
- control strategy
- gaussian model
- special case
- optimal solution
- closed form
- image segmentation