Results 241 to 250 of about 3,173,574 (293)

The bellman quantum equation

Doklady Mathematics, 2006
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Gough, J., Belavkin, V. P., Smolyanov, O. G.   +2 more
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Hamilton–Jacobi–Bellman Equations

2017
In this chapter we present recent developments in the theory of Hamilton–Jacobi–Bellman (HJB) equations as well as applications. The intention of this chapter is to exhibit novel methods and techniques introduced few years ago in order to solve long-standing questions in nonlinear optimal control theory of Ordinary Differential Equations (ODEs).
Festa, Adriano, Guglielmi, Roberto, Hermosilla, Christopher, Picarelli, Athena, Sahu, Smita, Sassi, Achille, Silva, Francisco J.   +6 more
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Optimal control of stochastic differential equations with random impulses and the Hamilton–Jacobi–Bellman equation

Optimal control applications & methods
In this article, we study the optimal control of stochastic differential equations with random impulses. We optimize the performance index and add the influence of random impulses to the performance index with a random compensation function.
Qianbao Yin, Xiao‐Bao Shu, Yu Guo, Zi‐Yu Wang   +3 more
semanticscholar   +1 more source

SYMMETRY ANALYSIS OF THE BELLMAN EQUATION

Bulletin of the South Ural State University series Mathematics Mechanics Physics
The optimal correction of a material point’s trajectory under small perturbations is an important problem in control theory. The study of such processes can be reduced to solving a boundary value problem for a special nonlinear second-order partial ...
D.I. Kamaletdinova, V. O. Lukashchuk
semanticscholar   +1 more source

The Fractional Hamilton-Jacobi-Bellman Equation

Journal of Applied Nonlinear Dynamics, 2017
Summary: In this paper we initiate the rigorous analysis of controlled Continuous Time Random Walks (CTRWs) and their scaling limits, which paves the way to the real application of the research on CTRWs, anomalous diffusion and related processes. For the first time the convergence is proved for payoff functions of controlled scaled CTRWs and their ...
Veretennikova, M., Kolokoltsov, V.
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Parabolic Bellman Equations with Risk Control

SIAM Journal on Control and Optimization, 2018
The authors consider stochastic optimal control problems with an additional term representing the variance of the control functions i.e. where the usual functional to be minimized is augmented by an additional ``risk term''. because the latter one may serve as a risk control.
Bensoussan, Alain, Breit, Dominic, Frehse, Jens   +2 more
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Stochastic Hamilton–Jacobi–Bellman Equations

SIAM Journal on Control and Optimization, 1992
Summary: This paper studies the following form of nonlinear stochastic partial differential equation: \[ \begin{multlined} -d\Phi_ t=\inf_{v\in U}\left\{\frac12 \sum_{i,j}[\sigma\sigma^*]_{ij}(x,v,t)\partial_{x_ ix_ j}\Phi_ t(x)+\sum_ i b_ i(x,v,t)\partial_{x_ i}\Phi_ t(x)+L(x,v,t)+\right. \\ \left.+\sum_{i,j}\sigma_{ij}(x,v,t)\partial _{x_ i}\Psi_{j,t}
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Bellman equations of risk sensitive control

Proceedings of 1995 34th IEEE Conference on Decision and Control, 1996
This paper deals with risk-sensitive control problems and their associated Bellman equations. Using probabilistic and analytic methods, the author obtained the following results, under mild conditions. Here, he used the logarithmic transformation of the exponential criterion as a pay-off function.
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Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton--Jacobi--Bellman Equation

SIAM Journal of Control and Optimization, 2007
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraint for the cost functional described by the solution of a reflected backward stochastic differential equation.
Zhen Wu, Zhiyong Yu
semanticscholar   +1 more source

Optimal Soaring via Hamilton-Jacobi-Bellman Equations

SSRN Electronic Journal, 2014
Summary: Competition glider flying is a game of stochastic optimization, in which mathematics and quantitative strategies have historically played an important role. We address the problem of uncertain future atmospheric conditions by constructing a nonlinear Hamilton-Jacobi-Bellman equation for the optimal speed to fly, with a free boundary describing
Almgren, Robert, Tourin, Agnès
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