An adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems

DOI10.1007/s12190-023-01857-9zbMath1521.93211arXiv2210.04486OpenAlexW4362603939MaRDI QIDQ6138373

Heng Zhang

Publication date: 5 September 2023

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.04486

zbMATH Keywords

policy iterationadaptive dynamic programmingmodel-freelinear quadratic stochastic optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic learning and adaptive control (93E35)

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