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math.OC2025
Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle
Hui Sun, Feng Bao
In this work, we study the stochastic optimal control problem (SOC) mainly from the probabilistic view point, i.e. via the Stochastic Maximum principle (SMP) \cite{Peng4}. We adopt…
math.OC2024
Convergence Analysis for A Stochastic Maximum Principle Based Data Driven Feedback Control Algorithm
Siming Liang, Hui Sun, Richard Archibald +1
This paper presents convergence analysis of a novel data-driven feedback control algorithm designed for generating online controls based on partial noisy observational data. The al…