Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control

Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control

Memory-limited partially observable stochastic control (ML-POSC) is the stochastic optimal control problem under incomplete information and memory limitation. To obtain the optimal control function of ML-POSC, a system of the forward Fokker–Planck (FP) equation and the backward Hamilton–Jacobi–Bellm...

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Bibliographic Details
Main Authors: Takehiro Tottori, Tetsuya J. Kobayashi
Format: Article
Language:English
Published: MDPI AG 2023-01-01
Series:Entropy
Subjects:
decision-making
optimal control
stochastic control
incomplete information
memory limitation
mean-field control
Online Access:https://www.mdpi.com/1099-4300/25/2/208

Internet

https://www.mdpi.com/1099-4300/25/2/208

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