Policy iteration converges for entropy-regularized stochastic control via novel Hölder-Sobolev estimates yielding uniform bounds on value functions.
Second order elliptic equations and elliptic systems, volume 174 of Trans- lations of Mathematical Monographs
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Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Policy iteration converges for entropy-regularized stochastic control via novel Hölder-Sobolev estimates yielding uniform bounds on value functions.