Policy Iteration Algorithm for Singular Controlled Diffusion Processes
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Publication:2873856
DOI10.1137/11085267XzbMath1279.93109WikidataQ114978711 ScholiaQ114978711MaRDI QIDQ2873856
Publication date: 27 January 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/11085267x
stochastic optimal control; Markov decision process; perturbation analysis; policy iteration algorithm; singular diffusion processes
93C73: Perturbations in control/observation systems
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
93E35: Stochastic learning and adaptive control
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