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An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
16 references·2 citing·34 second hop
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References

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61 cited
  • 1995General necessary conditions for partially observed optimal stochastic controls58 cited
  • 1987The Maximum Principle for Optimal Control of Diffusions with Partial Information56 cited
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    • 2021Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation20 cited
    • 2021A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model13 cited