A Fokker-Planck control framework for stochastic systems
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Publication:1755915
DOI10.4171/EMSS/27zbMath1406.93383OpenAlexW2809327218MaRDI QIDQ1755915
Publication date: 11 January 2019
Published in: EMS Surveys in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4171/emss/27
Hamilton-Jacobi-Bellman equationhybrid systemsstochastic processprobability density functionFokker-Planck equationsMarkov renewal processesmodel predictive controlscientific computingoptimal control theorynumerical analysismean-field approach
Probabilistic models, generic numerical methods in probability and statistics (65C20) Dynamic programming in optimal control and differential games (49L20) Numerical computation of solutions to systems of equations (65H10) Reaction-diffusion equations (35K57) Dynamic programming (90C39) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Markov renewal processes, semi-Markov processes (60K15) Existence theories for optimal control problems involving partial differential equations (49J20) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations (35F21) Numerical methods for variational inequalities and related problems (65K15) Fokker-Planck equations (35Q84)
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