Stochastic optimal control via forward and backward stochastic differential equations and importance sampling.
Ioannis ExarchosEvangelos A. TheodorouPublished in: Autom. (2018)
Keyphrases
- forward and backward
- importance sampling
- stochastic differential equations
- maximum a posteriori estimation
- monte carlo
- brownian motion
- kalman filter
- markov chain
- particle filter
- approximate inference
- dynamic programming
- particle filtering
- markov chain monte carlo
- greedy search
- hidden markov models
- least squares
- feature extraction
- state space
- probabilistic model
- bayesian networks