Data-driven policy iteration algorithm for optimal control of continuous-time Itô stochastic systems with Markovian jumps (Q6920186)
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scientific article; zbMATH DE number 8102553
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| English | Data-driven policy iteration algorithm for optimal control of continuous-time Itô stochastic systems with Markovian jumps |
scientific article; zbMATH DE number 8102553 |
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Data-driven policy iteration algorithm for optimal control of continuous-time Itô stochastic systems with Markovian jumps (English)
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8 October 2025
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stochastic systems
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continuous time systems
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iterative methods
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Markov processes
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convergence of numerical methods
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Riccati equations
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transforms
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optimal control
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ST-based data-driven policy iteration algorithm
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infinite horizon optimal control problem
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continuous-time Itô stochastic systems
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Markovian jumps
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multiplicative noises
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stochastic coupled algebraic riccatic equation
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stochastic CARE
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offline iteration algorithm
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implicit iterative algorithm
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subsystems transformation technique
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parallel Kleinman iterative equations
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