Stochastic optimal control via forward and backward stochastic differential equations and importance sampling

DOI10.1016/J.AUTOMATICA.2017.09.004zbMath1378.93144arXiv1509.02195OpenAlexW2140866181MaRDI QIDQ680513

Evangelos A. Theodorou, Ioannis Exarchos

Publication date: 23 January 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02195

zbMATH Keywords

importance samplingstochastic controlforward and backward stochastic differential equations

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)

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