A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters

DOI10.4208/cicp.oa-2022-0310zbMath1520.93605OpenAlexW4372353268MaRDI QIDQ6111300

Richard Archibald, Jiong-min Yong, Feng Bao

Publication date: 6 July 2023

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/cicp.oa-2022-0310

zbMATH Keywords

parameter estimationstochastic optimal controlbackward stochastic differential equationsoptimal filterstochastic gradient descent

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)

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