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Connections between optimal stopping and singular stochastic control

✍ Scribed by Frederik Boetius; Michael Kohlmann


Book ID
108433006
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
220 KB
Volume
77
Category
Article
ISSN
0304-4149

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Optimal control for stochastic nonlinear
✍ N. Kumaresan; P. Balasubramaniam πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 658 KB

In this paper, optimal control for stochastic nonlinear singular system with quadratic performance is obtained using neural networks. The goal is to provide optimal control with reduced calculus effort by comparing the solutions of the matrix Riccati differential equation (MRDE) obtained from the we