Sum of Squares Polynomial Approximate Dynamic Programming for the Ergodic Problem
Gyorgy Hexner · IEEE Transactions on Automatic Control · 2025
The purpose of this note is to extend the Approximate Dynamic Programming (ADP) method to the infinite time stochastic optimal control (ergodic) problem. It is also shown that a modification of the basic algorithm solves the output feedback problem. The approximate dynamic programming solution of the ergodic problem differs in significant ways from its deterministic counterpart.