Solving Time-Continuous Stochastic Optimal Control Problems: Algorithm Design and Convergence Analysis of Actor-Critic Flow
Optimization and Control
2025-01-27 v2
Abstract
We propose an actor-critic framework to solve the time-continuous stochastic optimal control problem. A least square temporal difference method is applied to compute the value function for the critic. The policy gradient method is implemented as policy improvement for the actor. Our key contribution lies in establishing a linear rate of convergence for our proposed actor-critic flow. Theoretical findings are further validated through numerical examples, showing the efficacy of our approach in practical applications.
Cite
@article{arxiv.2402.17208,
title = {Solving Time-Continuous Stochastic Optimal Control Problems: Algorithm Design and Convergence Analysis of Actor-Critic Flow},
author = {Mo Zhou and Jianfeng Lu},
journal= {arXiv preprint arXiv:2402.17208},
year = {2025}
}
Comments
arXiv admin note: text overlap with arXiv:2302.05816