A practical variational approach to stochastic optimal control via state moment equations (Q1916929)
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scientific article; zbMATH DE number 902650
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A practical variational approach to stochastic optimal control via state moment equations |
scientific article; zbMATH DE number 902650 |
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A practical variational approach to stochastic optimal control via state moment equations (English)
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14 July 1996
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The author discusses the possibility to solve some stochastic optimal control problems using the solution of the corresponding deterministic problem (without noise terms), the state moment equations, and Euler-Lagrange variational methods. The approach is illustrated by examples.
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stochastic optimal control
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state moment equations
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Euler-Lagrange variational methods
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