Results 11 to 20 of about 11,373 (144)
On Stability of Perturbed Nonlinear Switched Systems with Adaptive Reinforcement Learning
Energies, 2020 In this paper, a tracking control approach is developed based on an adaptive reinforcement learning algorithm with a bounded cost function for perturbed nonlinear switched systems, which represent a useful framework for modelling these converters, such ...
Phuong Nam Dao +3 more
doaj +1 more source
Stats, 2021 We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily +1 more
doaj +1 more source
An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon
Mathematics, 2020 This paper studies an irreversible investment problem under a finite horizon. The firm expands its production capacity in irreversible investments by purchasing capital to increase productivity.
Junkee Jeon, Geonwoo Kim
doaj +1 more source
Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries
Mathematics, 2021 We establish a generalization of the Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton–Jacobi–Bellman equation associated with an ...
Francesco C. De Vecchi +3 more
doaj +1 more source
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation [PDF]
, 2015 We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random trading times.
Federico, Salvatore +2 more
core +2 more sources
Singular stochastic control model for algae growth management in dam downstream
Journal of Biological Dynamics, 2018 A stochastic control model for finding an ecologically sound, fit-for-purpose dam operation policy to suppress bloom of attached algae in its downstream is presented. A singular exactly solvable and a more realistic regular-singular cases are analysed in
Hidekazu Yoshioka, Yuta Yaegashi
doaj +1 more source
ON CONNECTIONS BETWEEN GENERALIZED SOLUTIONS OF PDE'S OF THE FIRST ORDER
Ural Mathematical Journal, 2015 The paper is devoted to investigation of connections between generalized solutions of the Cauchy problemfor the Hamilton-Jacobi-Bellman equation and the corresponding quasilinear equation of the first order in theof case n-dimentional state ...
Ekaterina A. Kolpakova
doaj +1 more source
A generalization of the Hopf-Cole transformation for stationary Mean Field Games systems [PDF]
, 2015 In this note we propose a transformation which decouples stationary Mean Field Games systems with superlinear Hamiltonians of the form |p|^r, and turns the Hamilton-Jacobi-Bellman equation into a quasi-linear equation involving the r-Laplace operator ...
Cirant, Marco
core +3 more sources
A direct approach to linear-quadratic stochastic control [PDF]
Opuscula Mathematica, 2017 A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic ...
Tyrone E. Duncan, Bozenna Pasik-Duncan
doaj +1 more source
Advances in Mechanical Engineering, 2019 A novel framework of rapid exponential stability and optimal feedback control is investigated and analyzed for a class of nonlinear systems through a variant of continuous Lyapunov functions and Hamilton–Jacobi–Bellman equation.
Yan Li, Yuanchun Li
doaj +1 more source