Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance.
S. YaghobipourM. YarahmadiPublished in: Comput. Math. Appl. (2020)
Keyphrases
- optimal control
- optimal control problems
- brownian motion
- linear quadratic
- dynamic programming
- control problems
- hamilton jacobi bellman
- feedback control
- stochastic control
- infinite horizon
- risk sensitive
- class of nonlinear systems
- control strategy
- lyapunov function
- control law
- policy iteration algorithm
- reinforcement learning
- nonlinear equations