Results 31 to 40 of about 638 (183)
Singular stochastic control model for algae growth management in dam downstream
Journal of Biological Dynamics, 2018 A stochastic control model for finding an ecologically sound, fit-for-purpose dam operation policy to suppress bloom of attached algae in its downstream is presented. A singular exactly solvable and a more realistic regular-singular cases are analysed in
Hidekazu Yoshioka, Yuta Yaegashi
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Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries
Mathematics, 2021 We establish a generalization of the Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton–Jacobi–Bellman equation associated with an ...
Francesco C. De Vecchi +3 more
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On Nonuniqueness of Solutions of Hamilton–Jacobi–Bellman Equations [PDF]
Applied Mathematics & Optimization, 2016 An example of a nonunique solution of the Cauchy problem of Hamilton-Jacobi-Bellman (HJB) equation with surprisingly regular Hamiltonian is presented. The Hamiltonian H(t,x,p) is locally Lipschitz continuous with respect to all variables, convex in p and with linear growth with respect to p and x.
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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.
Matanya B. Horowitz +2 more
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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.
Erhan Bayraktar, Mihai Sîrbu
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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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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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Hamilton–Jacobi–Bellman Equations on Multi-domains [PDF]
, 2013 A system of Hamilton Jacobi (HJ) equations on a partition of $\R^d$ is considered, and a uniqueness and existence result of viscosity solution is analyzed. While the notion of viscosity notion is by now well known, the question of uniqueness of solution, when the Hamiltonian is discontinuous, remains an important issue.
Rao, Zhiping, Zidani, Hasnaa
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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
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