Optimal adaptive control with separable drift uncertainty

DOI10.1137/23M1616236MaRDI QIDQ6975015zbMATH OpenFDO

Authors Samuel N. Cohen, Christoph Knochenhauer, Alexander Merkel

Publication date 5 June 2025

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

Full work available at URL https://doi.org/10.1137/23M1616236

zbMATH Keywords

adaptive controldrift uncertaintyexploration-exploitation trade-off

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Adaptive control/observation systems (93C40) Optimal stochastic control (93E20)

Cites work

• A pseudo-Markov property for controlled diffusion processes
• A selection theorem for optimization problems
• A Survey of Some Results in Stochastic Adaptive Control
• Adaptive continuous-time linear quadratic Gaussian control
• Adaptive control of continuous-time linear stochastic systems
• Algorithmic and high-frequency trading
• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
• Bayesian adaptive portfolio optimization
• Bayesian sequential least-squares estimation for the drift of a Wiener process
• DGM: a deep learning algorithm for solving partial differential equations
• Dual effect, certainty equivalence, and separation in stochastic control
• Dual-control theory. I
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Handbook of Price Impact Modeling
• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• scientific article; zbMATH DE number 49106 (Why is no real title available?)
• scientific article; zbMATH DE number 488339 (Why is no real title available?)
• Nonlinear and adaptive control with applications
• On the Separation Theorem of Stochastic Control
• Optimal adaptive LQG control for systems with finite state process parameters
• Optimal Control for Partially Observed Diffusions
• Optimal investment for retail investors
• Optimal investment with time-varying stochastic endowments
• Partially Observed Diffusions and Their Control
• Partially observed Markov decision processes. From filtering to controlled sensing
• Positive Temperatures on an Infinite Rod
• Stochastic calculus and applications
• Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
• Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
• The financial mathematics of market liquidity. From optimal execution to market making
• The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel
• The innovations problem
• The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control
• The Separation Principle in Stochastic Control, Redux
• User’s guide to viscosity solutions of second order partial differential equations
• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics

Cited in

(3)

• Uncertain stochastic optimal control problems based on backward stochastic difference equations and forward uncertain difference equations
• Stochastic control with signatures
• A measure-valued HJB perspective on Bayesian optimal adaptive control

This page was built for publication: Optimal adaptive control with separable drift uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6975015)