Stochastic L^1-optimal control via forward and backward sampling
DOI10.1016/J.SYSCONLE.2018.06.005zbMATH Open1402.93265OpenAlexW2820282023MaRDI QIDQ1624907FDOQ1624907
Authors: Ioannis Exarchos, Evangelos Theodorou, Panagiotis Tsiotras 
Publication date: 16 November 2018
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2018.06.005
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Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)
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Cited In (16)
- Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
- Sparse optimal stochastic control
- Sparse control for continuous‐time systems
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
- Stochastic differential games: a sampling approach via FBSDEs
- On sampling controlled stochastic approximation
- State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
- An efficient numerical algorithm for solving data driven feedback control problems
- Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control
- Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls
- Resource-aware time-optimal control with multiple sparsity measures
- Time‐optimal L1/L2 norms optimal control for linear time‐invariant systems
- Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- A stochastic optimal regulator for a class of nonlinear systems
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
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