A Policy Gradient Framework for Stochastic Optimal Control Problems with Global Convergence Guarantee
Fuente:
arXiv
Saved in:
| Main Authors: | Zhou, Mo, Lu, Jianfeng |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Solving Time-Continuous Stochastic Optimal Control Problems: Algorithm Design and Convergence Analysis of Actor-Critic Flow
by: Zhou, Mo, et al.
Published: (2024)
by: Zhou, Mo, et al.
Published: (2024)
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
by: Karoui, Nicole El, et al.
Published: (2013)
by: Karoui, Nicole El, et al.
Published: (2013)
Policy Gradient for Continuous-Time Mean-Field Control
by: Bayraktar, Erhan, et al.
Published: (2026)
by: Bayraktar, Erhan, et al.
Published: (2026)
Stochastic internal habit formation and optimality
by: Aleandri, Michele, et al.
Published: (2025)
by: Aleandri, Michele, et al.
Published: (2025)
High risk aversion Merton's problem without transversality conditions
by: Biffis, Enrico, et al.
Published: (2025)
by: Biffis, Enrico, et al.
Published: (2025)
Stochastic Optimal Control with Measurable Coefficients and Applications
by: de Feo, Filippo
Published: (2025)
by: de Feo, Filippo
Published: (2025)
Stochastic Optimal Impulse Controls with Changing Running Costs
by: Cao, Yuchen, et al.
Published: (2025)
by: Cao, Yuchen, et al.
Published: (2025)
Optimal Control of Unbounded Functional Stochastic Evolution Systems in Hilbert Spaces: Second-Order Path-dependent HJB Equation
by: Tang, Shanjian, et al.
Published: (2024)
by: Tang, Shanjian, et al.
Published: (2024)
Viscosity-Informed Generative Actor-Critic for High-Dimensional Stochastic Optimal Control
by: Golpashin, Alen E., et al.
Published: (2026)
by: Golpashin, Alen E., et al.
Published: (2026)
Optimal power procurement for green cellular wireless networks under uncertainty and chance constraints
by: Rached, Nadhir Ben, et al.
Published: (2025)
by: Rached, Nadhir Ben, et al.
Published: (2025)
On the Convergence of the Policy Iteration for Infinite-Horizon Nonlinear Optimal Control Problems
by: Ehring, Tobias, et al.
Published: (2025)
by: Ehring, Tobias, et al.
Published: (2025)
Generic Properties of Conjugate Points in Optimal Control Problems
by: Bressan, Alberto, et al.
Published: (2024)
by: Bressan, Alberto, et al.
Published: (2024)
Optimal control for production inventory system with various cost criterion
by: Golui, Subrata, et al.
Published: (2022)
by: Golui, Subrata, et al.
Published: (2022)
Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Poisson Jumps: Closed-Loop Representation of Open-Loop Optimal Controls
by: Ding, Kai, et al.
Published: (2026)
by: Ding, Kai, et al.
Published: (2026)
Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
by: Huang, Minyi, et al.
Published: (2025)
by: Huang, Minyi, et al.
Published: (2025)
Update-Aware Robust Optimal Model Predictive Control for Nonlinear Systems
by: Wehbeh, J., et al.
Published: (2025)
by: Wehbeh, J., et al.
Published: (2025)
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
by: Mei, Hongwei, et al.
Published: (2025)
by: Mei, Hongwei, et al.
Published: (2025)
Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
by: Luo, Sheng, et al.
Published: (2024)
by: Luo, Sheng, et al.
Published: (2024)
Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
by: Mastrolia, Thibaut, et al.
Published: (2025)
by: Mastrolia, Thibaut, et al.
Published: (2025)
Periodic Exponential Turnpike Phenomenon in Mean-Field Stochastic Linear-Quadratic Optimal Control
by: Sun, Jingrui, et al.
Published: (2024)
by: Sun, Jingrui, et al.
Published: (2024)
Trading with propagators and constraints: applications to optimal execution and battery storage
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
A Reinforcement Learning Framework for Some Singular Stochastic Control Problems
by: Liang, Zongxia, et al.
Published: (2025)
by: Liang, Zongxia, et al.
Published: (2025)
Outrunning the Omega Clock: A Singular Control Problem for Dividend Optimisation with Ruin and Time-in-Distress Default
by: Bodnariu, Andi, et al.
Published: (2026)
by: Bodnariu, Andi, et al.
Published: (2026)
Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
by: Tang, Shanjian, et al.
Published: (2024)
by: Tang, Shanjian, et al.
Published: (2024)
Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
by: Ji, Shaolin, et al.
Published: (2022)
by: Ji, Shaolin, et al.
Published: (2022)
Optimal Control of McKean-Vlasov equations with controlled stochasticity
by: Di Persio, Luca, et al.
Published: (2023)
by: Di Persio, Luca, et al.
Published: (2023)
Well-Posed KL-Regularized Control via Wasserstein and Kalman-Wasserstein KL Divergences
by: Stein, Viktor, et al.
Published: (2026)
by: Stein, Viktor, et al.
Published: (2026)
On the Value Function of Convex Bolza Problems Governed by Stochastic Difference Equations
by: Álvarez, Sebastián, et al.
Published: (2026)
by: Álvarez, Sebastián, et al.
Published: (2026)
Pointwise and dynamic programming control synthesis for finite-level open quantum memory systems
by: Vladimirov, Igor G., et al.
Published: (2026)
by: Vladimirov, Igor G., et al.
Published: (2026)
Stackelberg Stochastic Linear-Quadratic Differential Games: A Closed-Loop Equilibrium Approach
by: Lü, Qi, et al.
Published: (2026)
by: Lü, Qi, et al.
Published: (2026)
Convergence and turnpike properties of linear-quadratic mean field control problems with common noise
by: Bayraktar, Erhan, et al.
Published: (2026)
by: Bayraktar, Erhan, et al.
Published: (2026)
Convergence of Proximal Policy Gradient Method for Problems with Control Dependent Diffusion Coefficients
by: Davey, Ashley, et al.
Published: (2025)
by: Davey, Ashley, et al.
Published: (2025)
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
by: Mei, Hongwei, et al.
Published: (2025)
by: Mei, Hongwei, et al.
Published: (2025)
Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations
by: Pradhan, Somnath, et al.
Published: (2023)
by: Pradhan, Somnath, et al.
Published: (2023)
A Pontryagin Maximum Principle on the Belief Space for Continuous-Time Optimal Control with Discrete Observations
by: Bayer, Christian, et al.
Published: (2025)
by: Bayer, Christian, et al.
Published: (2025)
Infinite Time Horizon Optimal Control of McKean-Vlasov SDEs
by: Rudà, Silvia
Published: (2025)
by: Rudà, Silvia
Published: (2025)
Second-Order $Λ$-Sets and Extensions to Non-Smooth, Hybrid, and Stochastic Optimal Control
by: Rashid, Mohammad H. M
Published: (2025)
by: Rashid, Mohammad H. M
Published: (2025)
First and second-order optimality conditions for a bilinear controlled wave equation on an infinite horizon
by: Mezegueldy, Redouane El, et al.
Published: (2026)
by: Mezegueldy, Redouane El, et al.
Published: (2026)
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
by: de Feo, Filippo
Published: (2023)
by: de Feo, Filippo
Published: (2023)
Dynamic slippage control and rejection feedback in spot FX market making
by: Barzykin, Alexander
Published: (2026)
by: Barzykin, Alexander
Published: (2026)
Similar Items
-
Solving Time-Continuous Stochastic Optimal Control Problems: Algorithm Design and Convergence Analysis of Actor-Critic Flow
by: Zhou, Mo, et al.
Published: (2024) -
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
by: Karoui, Nicole El, et al.
Published: (2013) -
Policy Gradient for Continuous-Time Mean-Field Control
by: Bayraktar, Erhan, et al.
Published: (2026) -
Stochastic internal habit formation and optimality
by: Aleandri, Michele, et al.
Published: (2025) -
High risk aversion Merton's problem without transversality conditions
by: Biffis, Enrico, et al.
Published: (2025)