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Discounted Infinite Horizon Optimization

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Definition
StochasticControl

Definition

Given a policy γΓA\gamma\in\Gamma_{A} , β(0,1)\beta\in(0,1),with the objective of minimizing Jβ(X,γ)=limNExγ[k=0N1βkc(Xk,Uk)]J_{\beta}(X,\gamma) = \lim_{ N \to \infty } E_{x}^{\gamma}\left[ \sum_{k=0}^{N-1}\beta^{k}c(X_{k},U_{k}) \right]this is known as the Discounted Optimal Control problem.

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