Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon

Abstract

Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 24 November 2020Accepted: 15 June 2021Published online: 28 September 2021Keywordslinear quadratic regulator, reinforcement learning, policy gradient method, stochastic control, optimal liquidation, optimal executionAMS Subject Headings68Q25, 68R10, 68U05Publication DataISSN (print): 0363-0129ISSN (online): 1095-7138Publisher: Society for Industrial and Applied MathematicsCODEN: sjcodc