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math.OC2022★ 1 cited
Stochastic Linear Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong +1
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and…
math.OC2022
Distributed Q-Learning for Stochastic LQ Control with Unknown Uncertainty
Zhaorong Zhang, Juanjuan Xu, Xun Li
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matr…