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Title: | Stochastic linear quadratic optimal control problem : a reinforcement learning method | Authors: | Li, N Li, X Peng, J Xu, ZQ |
Issue Date: | Sep-2022 | Source: | IEEE transactions on automatic control, Sept 2022, v. 67, no. 9, p. 5009-5016 | Abstract: | This paper adopts a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where the drift and diffusion terms in the dynamics may depend on both the state and control. Based on Bellman’s dynamic programming principle, we present an online RL algorithm to attain optimal control with partial system information. This algorithm computes the optimal control rather than estimates the system coefficients and solves the related Riccati equation. It only requires local trajectory information, which significantly simplifies the calculation process. We shed light on our theoretical findings using two numerical examples. | Keywords: | Optimal control Stochastic processes Heuristic algorithms Trajectory Mathematics Mathematical models Riccati equations |
Publisher: | Institute of Electrical and Electronics Engineers | Journal: | IEEE transactions on automatic control | ISSN: | 0018-9286 | EISSN: | 1558-2523 | DOI: | 10.1109/TAC.2022.3181248 | Rights: | © 2022 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The following publication N. Li, X. Li, J. Peng and Z. Q. Xu, "Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method," in IEEE Transactions on Automatic Control, vol. 67, no. 9, pp. 5009-5016, Sept. 2022 is available at https://dx.doi.org/10.1109/TAC.2022.3181248. |
Appears in Collections: | Journal/Magazine Article |
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