3 papers
math.OC2022
Data-driven policy iteration algorithm for continuous-time stochastic linear-quadratic optimal control problems
Heng Zhang, Na Li
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve th…
math.OC2020
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method
Na Li, Xun Li, Jing Peng +1
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynam…
math.OC2020
Indefinite Mean-Field Type Linear-Quadratic Stochastic Optimal Control Problems
Na Li, Xun Li, Zhiyong Yu
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the…