Data-driven rules for multidimensional reflection problems
From MaRDI portal
Recommendations
- An efficient numerical algorithm for solving data driven feedback control problems
- Data-driven policy iteration algorithm for continuous-time stochastic linear-quadratic optimal control problems
- A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Cites work
- scientific article; zbMATH DE number 2168554 (Why is no real title available?)
- scientific article; zbMATH DE number 226968 (Why is no real title available?)
- A Class of Singular Control Problems and the Smooth Fit Principle
- A Numerical Method for Solving Singular Stochastic Control Problems
- A Singular Stochastic Control Problem with Interconnected Dynamics
- A class of singular stochastic control problems
- A pair of explicitly solvable singular stochastic control problems
- A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
- Adaptive continuous-time linear quadratic Gaussian control
- Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
- An introduction to stochastic differential equations with reflection
- Analysis and geometry of Markov diffusion operators
- Applied stochastic control of jump diffusions
- Central limit theorems for additive functionals of ergodic Markov diffusions processes
- Characterization of stationary distributions of reflected diffusions
- Connections between optimal stopping and singular stochastic control
- Controlled Markov processes and viscosity solutions
- Convergence of finite element methods for singular stochastic control
- Diffusion approximation for \(GI/G/1\) controlled queues
- Distance to C^k hypersurfaces
- Exponential and uniform ergodicity of Markov processes
- Learning to reflect: a unifying approach for data-driven stochastic control strategies
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- Nonparametric learning for impulse control problems -- exploration vs. exploitation
- Numerical Methods for Stochastic Control Problems in Continuous Time
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- On the sample complexity of the linear quadratic regulator
- On the singular control of exchange rates
- On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
- Optimal Adaptive Policies for Markov Decision Processes
- Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
- Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control
- Optimal correction problem of a multidimensional stochastic system
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Optimal harvesting of stochastically fluctuating populations
- Optimal spot market inventory strategies in the presence of cost and price risk
- Portfolio Selection with Transaction Costs
- Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls
- Shapes and geometries. Metrics, analysis, differential calculus, and optimization
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Singular control of the drift of a Brownian system
- Stationary stochastic control for Itô processes
- Stochastic differential equations with reflecting boundary conditions
This page was built for publication: Data-driven rules for multidimensional reflection problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6645137)
