Efficient Methods for Stochastic Optimal Control

Efficient Methods for Stochastic Optimal Control

<p>The Hamilton Jacobi Bellman (HJB) equation is central to stochastic optimal control (SOC) theory, yielding the optimal solution to general problems specified by known dynamics and a specified cost functional. Given the assumption of quadratic cost on the control input, it is well known that...

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Bibliographic Details
Main Author: Horowitz, Matanya Benasher
Format: Others
Published: 2014
Online Access:https://thesis.library.caltech.edu/8453/1/thesis.pdf
Horowitz, Matanya Benasher (2014) Efficient Methods for Stochastic Optimal Control. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/D40A-9E03. https://resolver.caltech.edu/CaltechTHESIS:05312014-011052261 <https://resolver.caltech.edu/CaltechTHESIS:05312014-011052261>

Internet

https://thesis.library.caltech.edu/8453/1/thesis.pdf
Horowitz, Matanya Benasher (2014) Efficient Methods for Stochastic Optimal Control. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/D40A-9E03. https://resolver.caltech.edu/CaltechTHESIS:05312014-011052261 <https://resolver.caltech.edu/CaltechTHESIS:05312014-011052261>

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