Mixed Use of Pontryagin's Principle and the Hamilton-Jacobi-Bellman Equation in Infinite- and Finite-Horizon Constrained Optimal Control.
Jerome WestonDomagoj TolicIvana PalunkoPublished in: IAS (2022)
Keyphrases
- optimal control
- hamilton jacobi bellman
- infinite horizon
- finite horizon
- control problems
- average cost
- dynamic programming
- control strategy
- stochastic control
- production planning
- markov decision process
- single product
- markov decision processes
- control law
- brownian motion
- policy iteration
- control algorithm
- machine learning