Stochastic L^1-optimal control via forward and backward sampling
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Stochastic \(L^1\)-optimal control via forward and backward sampling
Stochastic \(L^1\)-optimal control via forward and backward sampling
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A distribution-free theory of nonparametric regression
- A forward scheme for backward SDEs
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Controlled Markov processes and viscosity solutions
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Existence for BSDE with superlinear–quadratic coefficient
- Forward-backward stochastic differential equations and their applications
- Maximum Hands-Off Control: A Paradigm of Control Effort Minimization
- Minimum fuel spacecraft reorientation
- Numerical methods for stochastic computations. A spectral method approach.
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
Cited in
(16)- State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
- Resource-aware time-optimal control with multiple sparsity measures
- Stochastic differential games: a sampling approach via FBSDEs
- Time‐optimal L1/L2 norms optimal control for linear time‐invariant systems
- Sparse optimal stochastic control
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
- On sampling controlled stochastic approximation
- Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control
- A stochastic optimal regulator for a class of nonlinear systems
- Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
- Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
- Sparse control for continuous‐time systems
- An efficient numerical algorithm for solving data driven feedback control problems
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
- Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls
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