Forward-Backward Rapidly-Exploring Random Trees for Stochastic Optimal Control

We propose a numerical method for the computation of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. By the use of the Girsanov change of probability measures, it is demonstrated...

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Bibliographische Detailangaben

Hauptverfasser:	Hawkins, Kelsey P, Pakniyat, Ali, Theodorou, Evangelos, Tsiotras, Panagiotis
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Robotics Computer Science - Systems and Control Mathematics - Optimization and Control
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