A value iteration algorithm for stochastic linear quadratic regulator

DOI10.1007/S10957-025-02777-3MaRDI QIDQ6939536zbMATH OpenFDO

Authors Hongxia Wang, Yihang Liu, Xiangqian Liu

Publication date 21 August 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10957-025-02777-3

zbMATH Keywords

policy iterationreinforcement learningstochastic linear quadratic regulationvalue iteration

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Learning and adaptive systems in artificial intelligence (68T05) Algebraic methods (93B25) Optimal stochastic control (93E20)

Cites work

• Adaptive optimal control for continuous-time linear systems based on policy iteration
• Adaptive optimal output regulation of linear discrete-time systems based on event-triggered output-feedback
• Computational adaptive optimal control for continuous-time linear systems with completely unknown dynamics
• Dynamic programming and optimal control. Vol. 2
• Model-free optimal control of discrete-time systems with additive and multiplicative noises
• Reinforcement \(Q\)-learning for optimal tracking control of linear discrete-time systems with unknown dynamics
• Reinforcement Learning and Feedback Control: Using Natural Decision Methods to Design Optimal Adaptive Controllers
• Reinforcement learning. An introduction
• Robust reinforcement learning for stochastic linear quadratic control with multiplicative noise
• Stochastic and adaptive optimal control of uncertain interconnected systems: a data-driven approach

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