Results 91 to 100 of about 1,725 (192)

Optimal control of nonlinear systems using Multi-Layer Perceptron Neural Network and adaptive extended Kalman Filter

Majlesi Journal of Electrical Engineering
In this paper we present a nonlinear optimal control method based on approximating the solution of Hamilton-Jacobi-Bellman (HJB) equation. Value function is approximated as the output of Multilayer Perceptron Neural Network (MLPNN).
Esmat Sadat Alaviyan Shahri, Saeed Balochian   +1 more
doaj  

HJB-POD feeback control of advection-diffusion equation with a model predictive control snapshot sampling

, 2015
In this paper we present the approximation of an infinite horizon optimal control problem for evolutive advection-diffusion equations. The method is based on a model reduction technique, using a Proper Orthogonal Decomposition (POD) approximation ...
Hinze M, Alla A., Hinze M., Alla A
core   +1 more source

Controlled superprocesses and HJB equation in the space of finite measures

This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system.
Ocello, Antonio
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Time-inconsistent optimal control problems and the equilibrium HJB equation

Mathematical Control & Related Fields, 2012
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of the problem.
openaire   +3 more sources

Hamilton–Jacobi–Bellman Equations and Reinforcement Learning: A Theoretical Framework and Empirical Study for Dynamic Credit Decision-Making

Mathematics
Traditional credit scoring models treat lending decisions as static classification, ignoring the dynamic evolution of borrower risk and long-term profit optimisation.
Lei Jin, Runchi Zhang
doaj   +1 more source

Temporal Parallelization of the HJB Equation and Continuous-Time Linear Quadratic Control

IEEE Transactions on Automatic Control
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control problem into sub-intervals, and define a control problem in each sub-interval, conditioned on the start and end ...
Simo Särkkä, Ángel F. García-Fernández   +1 more
openaire   +2 more sources

Mitigating the Curse of Dimensionality: Sparse Grid Characteristics Method for Optimal Feeback Control and HJB Equations [PDF]

, 2015
We address finding the semi-global solutions to optimal feedback con- trol and the Hamilton–Jacobi–Bellman (HJB) equation. Using the solu- tion of an HJB equation, a feedback optimal control law can be imple- mented in real-time with minimum ...
Kang, Wei, Wilcox, Lucas C.
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Numerical solution of discretised HJB equations with applications in finance

, 2011
We consider the numerical solution of discretised Hamilton-Jacobi-Bellman (HJB) equations with applications in finance.For the discrete linear complementarity problem arising in American option pricing, we study a policy iteration method.
Witte, Jan Hendrik, Reisinger, Christoph
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Exploring the Utility Function in Merton's Portfolio Problem

reservedAll'interno di questa tesi si tratta il Problema del Portafoglio di Merton, e, mediante l'utilizzo della funzione di HJB si massimizza l'utilità attesa ipotizzando varie funzioni di utilità.
PELLEGRINO, DAVIDE
core  

Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations

, 2002
Recently in [8] an ergodic control problem for a class of di#usion processes, constrained to take values in a polyhedral cone, was considered. The main result of that paper was that under appropriate conditions on the model, there is a Markov control for
Amarjit Budhiraja, Vivek Borkar
core