A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
DOI10.1016/J.AUTOMATICA.2013.02.053zbMATH Open1360.93783OpenAlexW2158399406MaRDI QIDQ522803FDOQ522803
Publication date: 19 April 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/99483
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Optimality conditions for problems involving randomness (49K45) Application models in control theory (93C95) Optimal stochastic control (93E20) Optimality conditions for free problems in two or more independent variables (49K10)
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Cited In (4)
- Gradient iterative algorithm for dual-rate nonlinear systems based on a novel particle filter
- On the information-based complexity of stochastic programming
- Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme
- A stochastic multiscale model for electricity generation capacity expansion
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