Results 1 to 10 of about 9,054 (140)
Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control [PDF]
Entropy, 2023 Memory-limited partially observable stochastic control (ML-POSC) is the stochastic optimal control problem under incomplete information and memory limitation.
Takehiro Tottori, Tetsuya J. Kobayashi
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function [PDF]
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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Mathematics, 2023 This paper studies the numerical algorithm of stochastic control problems in investment optimization. Investors choose the optimal investment to maximize the expected return under uncertainty.
Jiamian Lin +3 more
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Asymptotic Behavior of an Optimal Investment-Reinsurance Problem with General Utility Functions
Discrete Dynamics in Nature and Society, 2022 It is usually extremely difficult to derive an analytical solution to the Hamilton-Jacobi-Bellman (HJB) equation for some optimal control problems under general utility functions, while this paper provides a dual control method to solve the HJB equation ...
Yan Zhang, Peibiao Zhao
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IET Control Theory & Applications, 2021 Otimal tracking control of discrete‐time non‐linear systems is investigated in this paper. The system drift dynamics is unknown in this investigation. Firstly, in the light of the discrete‐time non‐linear systems and reference signal, an augmented system
Jingang Zhao, Prateek Vishal
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Entropy, 2022 In this paper, a robust trajectory tracking control method with state constraints and uncertain disturbances on the ground of adaptive dynamic programming (ADP) is proposed for nonlinear systems.
Chunbin Qin +3 more
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Optimal Dividends for a Two-Dimensional Risk Model with Simultaneous Ruin of Both Branches
Risks, 2022 We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative.
Philipp Lukas Strietzel +1 more
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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 +4 more
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IEEE Access, 2022 This paper investigates the optimal control of continuous-time multi-controller systems with completely unknown dynamics using data-driven adaptive dynamic programming (DD-ADP).
Jingang Zhao
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Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems [PDF]
, 2010 In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or strictly concave.
Bian, Baojun, Miao, Sheng, Zheng, Harry
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