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)

zbMATH Keywords

value iterationreinforcement learningpolicy iterationstochastic linear quadratic regulation

Mathematics Subject Classification ID

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

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