Stochastic dynamic programming: Caution and probing
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Publication:3927163
DOI10.1109/TAC.1981.1102793zbMath0472.93071MaRDI QIDQ3927163
Publication date: 1981
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
stochastic controlMarkov processcost functiondeterministic termBellman's dynamic programming methodcaution termprobing term
Filtering in stochastic control theory (93E11) Controllability (93B05) Dynamic programming (90C39) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Optimality conditions for problems involving randomness (49K45)
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