Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation [PDF]
Fundamental Research, 2023 In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation.
Yunhong Li +3 more
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Memristive Bellman solver for decision-making [PDF]
Nature CommunicationsThe Bellman equation, with a resource-consuming solving process, plays a fundamental role in formulating and solving dynamic optimization problems.
Zhe Feng +15 more
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function [PDF]
International Journal of Mathematics and Mathematical Sciences, 2013 A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to ...
Md. Azizul Baten, Anton Abdulbasah Kamil
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On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method [PDF]
Abstract and Applied Analysis, 2014 Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana +2 more
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Some non monotone schemes for Hamilton-Jacobi-Bellman equations [PDF]
, 2018 We extend the theory of Barles Jakobsen to develop numerical schemes for Hamilton Jacobi Bellman equations. We show that the monotonicity of the schemes can be relaxed still leading to the convergence to the viscosity solution of the equation.
Warin, Xavier
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The Bellman equation for power utility maximization with semimartingales [PDF]
, 2012 We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints.
Nutz, Marcel
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Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control [PDF]
, 2011 We study the partial differential equation max{Lu - f, H(Du)}=0 where u is the unknown function, L is a second-order elliptic operator, f is a given smooth function and H is a convex function.
Hynd, Ryan
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Nonlinear Monte Carlo Methods with Polynomial Runtime for Bellman Equations of Discrete Time High-Dimensional Stochastic Optimal Control Problems. [PDF]
Appl Math OptimBeck C, Jentzen A, Kleinberg K, Kruse T.
europepmc +3 more sources
Output‐feedback stochastic model predictive control of chance‐constrained nonlinear systems
IET Control Theory & Applications, 2023 This study covers the output‐feedback model predictive control (MPC) of nonlinear systems subjected to stochastic disturbances and state chance constraints. The stochastic optimal control problem is solved in a stochastic dynamic programming fashion, and
Jingyu Zhang, Toshiyuki Ohtsuka
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About one problem of optimal control synthesis [PDF]
E-Journal of Analysis and Applied Mathematics, 2023 This paper tackles the problem of characterizing the natural class, or Riccati rule space, of solutions to a specific e quation. Despite the significant theoretical and practical implications, there is limited research exploring the application of ...
Muhametberdy Rakhimov
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