| Abstract: | In this work, an efficient sample-wise data driven control solver will be developed to solve the stochastic optimal control problem with unknown model parameters. A direct filter method will be applied as an online parameter estimation method
that dynamically estimates the target model parameters upon receiving the data, and
a sample-wise optimal control solver will be provided to efficiently search for the optimal control. Then, an effective overarching algorithm will be introduced to combine
the parameter estimator and the optimal control solver. Numerical experiments will
be carried out to demonstrate the effectiveness and the efficiency of the sample-wise
data driven control method. |
