Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems

DOI10.1137/22M1492180arXiv2203.11758OpenAlexW4389301972MaRDI QIDQ6140987

Christoph Reisinger, Yu-Fei Zhang, Wolfgang Stockinger

Publication date: 2 January 2024

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.11758

zbMATH Keywords

stochastic controllinear convergencebackward stochastic differential equationstationary pointreinforcement learningpolicy gradient method

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20)

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