Results 151 to 160 of about 640 (183)

Multigrid Methods for Second Order Hamilton--Jacobi--Bellman and Hamilton--Jacobi--Bellman--Isaacs Equations

SIAM Journal on Scientific Computing, 2013
We propose multigrid methods for solving the discrete algebraic equations arising from the discretization of the second order Hamilton--Jacobi--Bellman (HJB) and Hamilton--Jacobi--Bellman--Isaacs (HJBI) equations. We propose a damped-relaxation method as a smoother for multigrid.
Dong Han, Justin W. L. Wan
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On quadratic approximations for Hamilton–Jacobi–Bellman equations

Automatica, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On the Hamilton-Jacobi-Bellman equations

Acta Applicandae Mathematicae, 1983
The author considers optimal stochastic control problems and the associated Hamilton-Jacobi-Bellman equations. The heuristic argument showing that the minimal cost function satisfies the H-J-B equation is given. Then the author shows that the minimal cost function, u, is the maximum element of the set of all sub-solutions v satisfying: \(A_{\alpha}v ...
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Nonlinear potentials for Hamilton-Jacobi-Bellman equations

Acta Applicandae Mathematicae, 1993
An approach is proposed, which makes it possible to construct viscosity solutions and to analyze their regularity properties for general Hamilton-Jacobi-Bellman type equations using only information on the corresponding linear equations and their solutions. This approach is a generalization of \textit{N. V.
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Function approximation for the deterministic Hamilton-Jacobi-Bellman equation

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference, 2009
Based on Gaussian basis functions, a new method for calculating the Hamilton-Jacobi-Bellman equation for deterministic continuous-time and continuous-valued optimal control problems is proposed. A semi-Lagrangian discretization scheme is used to obtain a discrete-time finite-state approximation of the continuous dynamics.
Matthias Rungger, Olaf Stursberg
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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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Hamilton-Jacobi-Bellman Equations and Optimal Control

1998
The aim of this paper is to offer a quick overview of some applications of the theory of viscosity solutions of Hamilton-Jacobi-Bellman equations connected to nonlinear optimal control problems.
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Lower semicontinuous solutions to Hamilton-Jacobi-Bellman equations

[1991] Proceedings of the 30th IEEE Conference on Decision and Control, 1993
The value function of Mayer's problem arising in optimal control is investigated. Lower semicontinuous solutions of the associated Hamilton- Jacobi-Bellman equation (HJB) \[ -{\partial V \over \partial t} (t,x)+H \left( t,x,- {\partial V\over \partial t} (t,x) \right)=0, \quad V (T,\cdot) = g(\cdot) \text{ on Dom} (V).
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A Risk-Averse Analog of the Hamilton–Jacobi–Bellman Equation

2015
In this paper, we study the risk-averse control problem for diffusion processes. We make use of a forward–backward system of stochastic differential equations to evaluate a fixed policy and to formulate the optimal control problem. Weak formulation is established to facilitate the derivation of the risk-averse dynamic programming equation.
Andrzej Ruszczynski, Jianing Yao
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A generalized Hamilton-Jacobi-Bellman equation

2005
We interpret the following fully nonlinear second order partial differential equation $$\left\{ \begin{gathered}\partial _t u + \mathop {\inf }\limits_\alpha \left\{ {\mathcal{L}\left( {x, \alpha } \right)u + f\left( {x, u, \partial _x u\sigma \left( {x, \alpha } \right),\alpha } \right)} \right\} = 0,\left( {x, t} \right) \in D \times \left( {0, T}
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