Results 21 to 30 of about 638 (183)
Dynamic Programming and Hamilton–Jacobi–Bellman Equations on Time Scales
Complexity, 2020 Bellman optimality principle for the stochastic dynamic system on time scales is derived, which includes the continuous time and discrete time as special cases.
Yingjun Zhu, Guangyan Jia
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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
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Collision Avoidance Problem of Ellipsoid Motion
Mathematics, 2022 This paper studies the problem of target control and how a virtual ellipsoid can avoid the static obstacle. During the motion to the target set, the virtual ellipsoid can achieve a motion under collision avoidance by keeping the distance between the ...
Shujun Guo +9 more
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Verification Theorems for Hamilton--Jacobi--Bellman Equations [PDF]
SIAM Journal on Control and Optimization, 2003 We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function $W$ satisfies some suitable weak continuity assumptions and a Hamilton-Jacobi-Bellman inequality outside a countably $\mathcal H^n$-rectifiable set, then it is lower or ...
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function
International Journal of Mathematics and Mathematical Sciences, 2013 A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to ...
Md. Azizul Baten, Anton Abdulbasah Kamil
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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
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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
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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
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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.
Zaidong Zhan, Wei Wei, Honglei Xu
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Equivalent Extensions of Hamilton–Jacobi–Bellman Equations on Hypersurfaces [PDF]
Journal of Scientific Computing, 2020 We present a new formulation for the computation of solutions of a class of Hamilton Jacobi Bellman (HJB) equations on closed smooth surfaces of co-dimension one. For the class of equations considered in this paper, the viscosity solution of the HJB equation is equivalent to the value function of a corresponding optimal control problem.
Lindsay Martin, Yen-Hsi Richard Tsai
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