Results 101 to 110 of about 702 (187)

Verification Theorems for HJB equations [PDF]

Proceedings of Control Systems: Theory, Numerics and Applications — PoS(CSTNA2005), 2006
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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  

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.
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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
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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
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Viscosity Solutions for HJB Equations on the Process Space

In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second order path dependent HJB equation on the process space, which is by nature infinite dimensional.
Zhou, Jianjun, Touzi, Nizar, Zhang, Jianfeng   +2 more
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S-shaped Utility Maximization with VaR Constraint and Partial Information. [PDF]

J Optim Theory Appl
Zhu D, Davey A, Zheng H.
europepmc   +1 more source

Research on the equilibrium strategy of data value co-creation in water conservancy engineering projects based on differential game theory. [PDF]

PLoS One
An X, Chen X, Dong G, Zhang L.
europepmc   +1 more source

DAFRL: a dynamic adaptive mean field game-based multi-agent cooperative decision-making method. [PDF]

Sci Rep
Tang Y, Fan C, Yu D.
europepmc   +1 more source

Delay-aware chemotherapy dosing via online critic learning. [PDF]

Sci Rep
Rahimi F, Samadi M.
europepmc   +1 more source