Results 21 to 30 of about 617 (186)

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
doaj   +1 more source

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

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
openaire   +2 more sources

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
openaire   +2 more sources

Some non monotone schemes for Hamilton-Jacobi-Bellman equations [PDF]

ESAIM: Proceedings and Surveys, 2019
We extend the theory of Barles Jakobsen [3] for a class of almost monotone schemes to solve stationary Hamilton Jacobi Bellman equations. We show that the monotonicity of the schemes can be relaxed still leading to the convergence to the viscosity ...
Warin Xavier
doaj   +1 more source

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
openaire   +3 more sources

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
openaire   +3 more sources

L∞-error estimates of a finite element method for Hamilton-Jacobi-Bellman equations with nonlinear source terms with mixed boundary condition

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, Saadi Samira, Haiour Mohamed   +2 more
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Hamilton–Jacobi–Bellman equations on time scales

Mathematical and Computer Modelling, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhan, Z., Wei, W., Xu, Honglei
openaire   +2 more sources

Adaptive Neural Network Optimized Control Using Reinforcement Learning of Critic-Actor Architecture for a Class of Non-Affine Nonlinear Systems

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
doaj   +1 more source