Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems
We study the global linear convergence of policy gradient (PG) methods for finite-horizon continuous-time exploratory linear-quadratic control (LQC) problems. The setting includes stochastic LQC problems with indefinite costs and allows additional entropy regularisers in the objective. We consider a...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2024
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