Applied Optimal Control(09）- Stochastic Control

Keypoints:

• Stoachastic control can’t be solved by transversality condition. So we need to use the dynamic programming method.
  • Stochastic Hamilton-Jacobi-Bellman equation
  • Continuous/discrete time linear quadratic system
  • Neighboring optimal control: similar to DDP

Based on the lecture notes by Dr. Marin Kobilarov on “Applied Optimal Control (2021 Fall) at Johns Hopkins University