most citedA continuous time formulation of stochastic dual control to avoid the curse of dimensionality

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math.OC2020★ 1 cited

A continuous time formulation of stochastic dual control to avoid the curse of dimensionality

Martin Péron, Christopher M. Baker, Barry D. Hughes +1

Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e.…