Results 171 to 180 of about 11,494 (215)

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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Solution of Hamilton Jacobi Bellman equations

Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187), 2002
We present a method for the numerical solution of the Hamilton Jacobi Bellman PDE that arises in an infinite time optimal control problem. The method can be of higher order to reduce "the curse of dimensionality". It proceeds in two stages. First the HJB PDE is solved in a neighborhood of the origin using the power series method of Al'brecht (1961 ...
C.L. Navasca, A.J. Krener
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A relaxation scheme for Hamilton–Jacobi–Bellman equations

Applied Mathematics and Computation, 2007
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Zhou, Shuzi, Zou, Zhanyong
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A splitting algorithm for Hamilton-Jacobi-Bellman equations

Applied Numerical Mathematics, 1994
The dynamic programming approach to the solution of deterministic optimal control problems gives the characterization of the value function in terms of a partial differential equation of the first order, the Hamilton-Jacobi-Bellman equation. This approach permits to compute controls in feedback form and, as a consequence, approximate optimal ...
FALCONE, Maurizio, P. LANUCARA, SEGHINI, Alessandra   +2 more
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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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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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Simplifying numerical analyses of Hamilton–Jacobi–Bellman equations

Journal of Economics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bethmann, Dirk, Reiß, Markus
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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 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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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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