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math.OC2026
On the Approximation of Optimal Control in Regime-Switching Diffusions
Somnath Pradhan, Dinesh Rathia
We study approximation and structural simplification of optimal control policies for controlled regime-switching diffusion processes for discounted, ergodic, finite-horizon, and ex…
math.OC2026
Reinforcement Learning for Discounted and Ergodic Control of Diffusion Processes
Erhan Bayraktar, Ali D. Kara, Somnath Pradhan +1
This paper develops a quantized Q-learning algorithm for the optimal control of controlled diffusion processes on under both discounted and ergodic (average) cost cr…