Search Results - ST‐based data‐driven policy iteration algorithm

Data-driven policy iteration algorithm for optimal control of continuous-time Itô stochastic systems with Markovian jumps by Song, Jun, He, Shuping, Liu, Fei, Niu, Yugang, Ding, Zhengtao

“… To learn the solution of the stochastic CARE from N decomposed linear subsystems data, an ST-based data-driven policy iteration algorithm is proposed and the convergence is proved. Finally, a numerical example is given to illustrate the effectiveness and applicability of the proposed two iterative algorithms…”
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