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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The Bellman equation for power utility maximization with semimartingales [PDF]
arXiv.org, 2012 We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints.
Marcel Nutz
semanticscholar +5 more sources
On solutions of the distributional Bellman equation [PDF]
Electronic Research Archive, 2023 In distributional reinforcement learning (RL), not only expected returns but the complete return distributions of a policy are taken into account. The return distribution for a fixed policy is given as the solution of an associated distributional Bellman
Julian Gerstenberg +2 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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Fractional Order Version of the Hamilton–Jacobi–Bellman Equation [PDF]
Journal of Computational and Nonlinear Dynamics, 2018 We consider an extension of the well-known Hamilton–Jacobi–Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem.
A. Razminia +2 more
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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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Hamilton–Jacobi–Bellman Equations on Multi-domains [PDF]
, 2013 A system of Hamilton Jacobi (HJ) equations on a partition of $\R^d$ is considered, and a uniqueness and existence result of viscosity solution is analyzed. While the notion of viscosity notion is by now well known, the question of uniqueness of solution, when the Hamiltonian is discontinuous, remains an important issue.
Rao, Zhiping, Zidani, Hasnaa
openaire +4 more sources
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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