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A power penalty method for discrete HJB equations
Optimization Letters, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Zhang, X Q Yang, Yang Xiaoqi
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Dynamic solution of the HJB equation and the optimal control of nonlinear systems
Optimal control problems are often solved exploiting the solution of the so-called Hamilton-Jacobi-Bellman (HJB) partial differential equation, which may be, however, hard or impossible to solve in specific examples. Herein we circumvent this issue determining a dynamic solution of the HJB equation, without solving any partial differential equation ...
Sassano M., Astolfi A.
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Regularity Properties for General HJB Equations: A Backward Stochastic Differential Equation Method
SIAM Journal on Control and Optimization, 2012In this work we investigate regularity properties of a large class of Hamilton-Jacobi- Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in the form of a stochastic control system in which nonlinear cost functional is defined with the help of a backward stochastic differential equation (BSDE) or a reflected BSDE.
Rainer Buckdahn, Jianhui Huang
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Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations
Summary: Recently in [A. Budhiraja, SIAM J. Control Optim. 42, No. 2, 532--558 (2003; Zbl 1037.93073)] an ergodic control problem for a class of diffusion 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 which the ...
Vivek S. Borkar, Amarjit Budhiraja
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An iterative algorithm for solving a kind of discrete HJB equation with M-functions
In this work, an iterative algorithm for solving a kind of discrete HJB equation with M-functions is proposed and monotone convergence is obtained.
Shuilian Xie
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