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math.OC2024
Convergence Analysis for Entropy-Regularized Control Problems: A Probabilistic Approach
Jin Ma, Gaozhan Wang, Jianfeng Zhang
In this paper we investigate the convergence of the Policy Iteration Algorithm (PIA) for a class of general continuous-time entropy-regularized stochastic control problems. In part…
math.OC2016★ 11 cited
Dynamic Approaches for Some Time Inconsistent Problems
Chandrasekhar Karnam, Jin Ma, Jianfeng Zhang
In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately…