An improved iterative algorithm for solving optimal tracking control problems of stochastic systems

Cites Work

Optimal control theory
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A novel iterative algorithm for solving coupled Riccati equations
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Shape restricted smoothing splines via constrained optimal control and nonsmooth Newton's methods
Numerical solution of the state dependent noise problem
On a Matrix Riccati Equation of Stochastic Control
Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme
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