Yan-Kai Xu

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We formulate the Lebesgue-sampling-based optimal control problem. We show that the problem can be solved by the time aggregation approach in Markov decision processes (MDP) theory. Policy-iteration-based and reinforcement-learning-based methods are developed for the optimal policies. Both analytical solutions and sample-path-based algorithms are given.(More)
Jump linear quadratic Gaussian (JLQG) model is well studied due to its wide applications. The existing studies on JLQG model with controlled jump probabilities usually impose an assumption that jump probabilities are independent and separately controlled. However, in some practical systems, their jump probabilities may not be independent of each other. In(More)
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