Some Non-monotone Schemes for Time Dependent Hamilton-Jacobi-Bellman Equations in Stochastic Control.
Xavier WarinPublished in: J. Sci. Comput. (2016)
Keyphrases
- hamilton jacobi bellman
- stochastic control
- optimal control
- control problems
- queueing systems
- brownian motion
- operations management
- nonlinear systems
- partial differential equations
- reinforcement learning
- differential equations
- poisson process
- control strategy
- dynamical systems
- dynamic programming
- stochastic processes
- approximate dynamic programming
- hamilton jacobi
- special case