Results 1 to 10 of about 1,725 (192)
A new domain decomposition method for an HJB equation
Journal of Computational and Applied Mathematics, 2003 This note is concerned with a second-order Hamilton-Jacobi-Bellman (HJB) equation. First, the authors explain that this kind of problems can be regarded as a quasivaritional inequality problem. Further, they proceed by a domain decomposition to establish the solution.
Shuzi Zhou
exaly +4 more sources
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
doaj +4 more sources
Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation [PDF]
SIAM Journal on Numerical Analysis, 2003 Summary: We analyze a class of numerical schemes for solving the HJB equation for stochastic control problems, which enters the framework of Markov chain approximations and generalizes the usual finite difference method. The latter is known to be monotonic, and hence valid, only if the scaled covariance matrix is dominant diagonal.
J Frédéric Bonnans, Hasnaa Zidani
exaly +3 more sources
POD-based feedback control of the burgers equation by solving the evolutionary HJB equation
Computers and Mathematics With Applications, 2005 A numerical method is proposed for solving finite-time horizon suboptimal feedback control problems of distributed parameter systems. The method is based on model reduction by proper orthogonal decomposition (POD), and a local Lax-Friedrichs scheme is used to solve the resulting evolutionary Hamilton-Jacobi-Bellman (HJB) equation. The latter scheme for
K Kunisch
exaly +3 more sources
Fractional Order Version of the HJB Equation
, 2018 This is a preprint of a paper whose final and definite form is with 'Journal of Computational and Nonlinear Dynamics', ISSN 1555-1415, eISSN 1555-1423, CODEN: JCNDDM.
Razminia, Abolhassan +2 more
openaire +4 more sources
Optimal feedback control for undamped wave equations by solving a HJB equation [PDF]
ESAIM: Control, Optimisation and Calculus of Variations, 2015 In this paper, optimal feedback control for one-dimensional semi-linear wave equations is considered. The feedback law based on the dynamic programming principle requires to solve the evolutionary Hamilton-Jacobi-Bellman (HJB) equation. To avoid the so--called ``curse of dimensionality'', instead of classical discretization methods based on finite ...
Kröner, Axel +2 more
openaire +5 more sources
HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces [PDF]
Journal of Optimization Theory and Applications, 2023 AbstractIn this paper, we study a first extension of the theory of mild solutions for Hamilton–Jacobi–Bellman (HJB) equations in Hilbert spaces to the case where the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear HJB equation.
Calvia A., Cappa G., Gozzi F., Priola E.
core +6 more sources
A semismooth Newton method for a kind of HJB equation
Computers and Mathematics With Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hong-Ru Xu, Shuilian Xie
exaly +2 more sources
Exploratory HJB Equations and Their Convergence
SIAM Journal on Control and Optimization, 2022 We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of reinforcement learning in continuous time and space.
Wenpin Tang +2 more
openaire +3 more sources
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
doaj +1 more source