Results 31 to 40 of about 617 (186)

Differential Games for Fractional-Order Systems: Hamilton–Jacobi–Bellman–Isaacs Equation and Optimal Feedback Strategies

Mathematics, 2021
The paper deals with a two-person zero-sum differential game for a dynamical system described by differential equations with the Caputo fractional derivatives of an order α∈(0,1) and a Bolza-type cost functional.
Mikhail I. Gomoyunov
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Nonlinear Optimal Control for Stochastic Dynamical Systems

Mathematics
This paper presents a comprehensive framework addressing optimal nonlinear analysis and feedback control synthesis for nonlinear stochastic dynamical systems.
Manuel Lanchares, Wassim M. Haddad
doaj   +1 more source

Some Results on Bellman Equations of Optimal Production Control in a Stochastic Manufacturing System

Journal of Probability and Statistics, 2009
The paper studies the production inventory problem of minimizing the expected discounted present value of production cost control in a manufacturing system with degenerate stochastic demand. We establish the existence of a unique solution of the Hamilton-
Azizul Baten, Anton Abdulbasah Kamil
doaj   +1 more source

Model-Free Gradient-Based Adaptive Learning Controller for an Unmanned Flexible Wing Aircraft

Robotics, 2018
Classical gradient-based approximate dynamic programming approaches provide reliable and fast solution platforms for various optimal control problems. However, their dependence on accurate modeling approaches poses a major concern, where the efficiency ...
Mohammed Abouheaf, Wail Gueaieb, Frank Lewis   +2 more
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Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

Mathematics, 2021
This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that the financial market consists of a risk-free asset and a risky asset, where the risky asset is subject to the Ornstein–Uhlenbeck (O-
Yang Wang, Xiao Xu, Jizhou Zhang
doaj   +1 more source

Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations [PDF]

SIAM Journal on Control and Optimization, 2018
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is introduced, and we prove that the value function of the optimal stochastic control problem is the maximal viscosity ...
openaire   +3 more sources

Adaptive spline interpolation for Hamilton–Jacobi–Bellman equations [PDF]

Applied Numerical Mathematics, 2006
We study the performace of adaptive spline interpolation in semi--Lagrangian discretization schemes for Hamilton--Jacobi--Bellman equations. We investigate the local approximation properties of cubic splines on locally refined grids by a theoretical analysis. Numerical examples show how this method performs in practice.
Bauer, Florian, Grüne, Lars, Semmler, Willi   +2 more
openaire   +2 more sources

Optimization of Boiler Soot Blowing Based on Hamilton-Jacobi-Bellman Equation

IEEE Access, 2019
In this paper, the optimization of the boiler soot blowing is investigated based on the Hamilton-Jacobi-Bellman (HJB) equation and from the standpoint of the equipment health management.
Jie Wen, Yuanhao Shi, Xiaoqiong Pang, Jianfang Jia, Jianchao Zeng   +4 more
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Optimal excess of loss reinsurance-barrier dividend strategies with investment

Shenzhen Daxue xuebao. Ligong ban, 2022
The optimal barrier dividend problem under excess of loss reinsurance strategy has rarely been studied so far. We combine the risk factors such as market friction and terminal residual value with risk investment and risk control strategy, and study the ...
SUN Zongqi, YANG Peng, WU Jing, YANG Yang   +3 more
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Stochastic differential equations harvesting optimization with stochastic prices: Formulation and numerical solution

Results in Applied Mathematics
This work aims to achieve optimal harvesting in a random setting with a stochastic price structure. We use a general growth function to model the harvested population, a geometric Brownian motion to model price change, and add fluctuations in the ...
Miguel Reis, Nuno M. Brites
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