Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method

Abstract: This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on Bellman's dynamic programming principle, an online RL algorithm is presented to attain the optimal control with just partial system information. This algorithm directly computes the optimal control rather than estimating the system coefficients and solving the related Riccati equation. It just requires local trajectory information, greatly simplifying the calculation processing. Two numerical examples are carried out to shed light on our theoretical findings.