Model-free Reinforcement Learning for $H_2/H_{\infty }$ Control of Stochastic Discrete-time Systems

Xiushan Jiang, Li Wang, Dongya Zhao +1

This paper proposes a reinforcement learning (RL) algorithm for infinite horizon ${\mathrm{H}}_2/{\mathrm{H}}_{\infty }$ problem in a class of stochastic discrete-time systems, rather than using…