SOC-MartNet: A Martingale Neural Network for the Hamilton-Jacobi-Bellman Equation without Explicit inf H in Stochastic Optimal Controls.
Wei CaiShuixin FangTao ZhouPublished in: CoRR (2024)
Keyphrases
- hamilton jacobi bellman
- optimal control
- stochastic control
- neural network
- control problems
- nonlinear systems
- dynamic programming
- queueing systems
- brownian motion
- optimal solution
- artificial neural networks
- fuzzy systems
- state dependent
- machine learning
- approximate dynamic programming
- infinite horizon
- control strategy
- operations management
- steady state
- control system