Random Batch Methods for Linear-Quadratic Optimal Control Problems

Random Batch Methods for Linear-Quadratic Optimal Control Problems

Author: Daniel Veldman, FAU DCN-AvH Code: || Also available @Daniël’s GitHub In a previous post “Randomized time-splitting in linear-quadratic optimal control“, it was proposed to use the Random Batch Method (RBM) to solve classical Linear-Quadratic (LQ) optimal control problems. This contribution is concerned with the corresponding numerical implementation. We thus consider the classical LQ optimal control problem, in which the…