Results 21 to 30 of about 11,494 (215)
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
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Linear Hamilton Jacobi Bellman Equations in high dimensions [PDF]
53rd IEEE Conference on Decision and Control, 2014 The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems with more than moderate state space size due to the curse of dimensionality.
Horowitz, Matanya B. +2 more
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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
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Mean Field Game with Delay: A Toy Model
Risks, 2018 We study a toy model of linear-quadratic mean field game with delay. We “lift” the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward ...
Jean-Pierre Fouque, Zhaoyu Zhang
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Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations [PDF]
SIAM Journal on Control and Optimization, 2013 Final version. To appear in the SIAM Journal on Control and Optimization.
Bayraktar, Erhan, Sirbu, Mihai
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Set-valued Hamilton-Jacobi-Bellman Equations
, 2023 Building upon the dynamic programming principle for set-valued functions arising from many applications, in this paper we propose a new notion of set-valued PDEs. The key component in the theory is a set-valued Itô formula, characterizing the flows on the surface of the dynamic sets.
İşeri, Melih, Zhang, Jianfeng
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Demonstratio Mathematica, 2021 In this paper, we introduce a new method to analyze the convergence of the standard finite element method for Hamilton-Jacobi-Bellman equation with noncoercive operators with nonlinear source terms with the mixed boundary conditions.
Miloudi Madjda +2 more
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Hamilton-Jacobi-Bellman equations with fast gradient-dependence [PDF]
Indiana University Mathematics Journal, 2000 The authors deal with the existence, uniqueness, and regularity properties for a class of Hamilton-Jacobi-Bellman equations, when the Hamiltonians are superlinear in the adjoint variable, but possibly not uniformly with respect to the state variable. Such a class of equations arises in nonlinear control problems with unbounded controls.
RAMPAZZO, FRANCO, SARTORI, CATERINA
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Hamilton–Jacobi–Bellman Equation for Control Systems With Friction [PDF]
IEEE Transactions on Automatic Control, 2021 This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists of a controlled differential inclusion with a discontinuous right-hand side, which still preserves existence and uniqueness of the solution for each given input function u(t).
Fabio Tedone, Michele Palladino
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IEEE Access, 2021 In this article, an optimized tracking control using critic-actor reinforcement learning (RL) strategy is investigated for a class of non-affine nonlinear continuous-time systems.
Xue Yang, Bin Li, Guoxing Wen
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