Results 161 to 170 of about 1,725 (192)

On Computation of Optimal Switching HJB Equation

Proceedings of the 45th IEEE Conference on Decision and Control, 2006
This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs) coupled by a nonlinear operator. By exploring the fundamental limit on the number of switches could
Huan Zhang, Matthew R. James
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A new iterative method for discrete HJB equations

Numerische Mathematik, 2008
The goal of this paper is to propose a successive relaxation iterative algorithm for discrete Hamilton-Jacobi-Bellman equation: \((1) \max_{1\leq j\leq K} \{A^JU-F^J\}=0\) where \(A^j \in \mathbb R^{n \times n}, F^j \in \mathbb R^n, j=1,2,\dots K\). Equation (1) is a system of nonsmooth nonlinear equations. A successive iterative scheme, similar to the
Shuzi Zhou, Zhanyong Zou
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Dynamic Approximate Solutions of the HJ Inequality and of the HJB Equation for Input-Affine Nonlinear Systems

IEEE Transactions on Automatic Control, 2012
The solution of most nonlinear control problems hinges upon the solvability of partial differential equations or inequalities. In particular, disturbance attenuation and optimal control problems for nonlinear systems are generally solved exploiting the ...
Mario Sassano, Alessandro Astolfi
exaly   +2 more sources

Modifications of the PCPT method for HJB equations

AIP Conference Proceedings, 2016
In this paper we will revisit the modification of the piecewise constant policy timestepping (PCPT) method for solving Hamilton-Jacobi-Bellman (HJB) equations. This modification is called piecewise predicted policy timestepping (PPPT) method and if properly used, it may be significantly faster.
I. Kossaczký, M. Ehrhardt, M. Günther
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Dynamic Programming and HJB Equations

1999
In this chapter we turn to study another powerful approach to solving optimal control problems, namely, the method of dynamic programming. Dynamic programming, originated by R. Bellman in the early 1950s, is a mathematical technique for making a sequence of interrelated decisions, which can be applied to many optimization problems (including optimal ...
Jiongmin Yong, Xun Yu Zhou
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Viscosity Solutions to HJB Equations with Hölder Continuous Coefficients

Journal of Optimization Theory and Applications
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jianrui Li, Jinghai Shao, Hui Zhao
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Pathwise Stochastic Control Problems and Stochastic HJB Equations

SIAM Journal on Control and Optimization, 2007
In this paper we study a class of pathwise stochastic control problems in which the optimality is allowed to depend on the paths of exogenous noise (or information). Such a phenomenon can be illustrated by considering a particular investor who wants to take advantage of certain extra information but in a completely legal manner.
Rainer Buckdahn, Jin Ma
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Markov chain approximation methods on generalized HJB equation

2007 46th IEEE Conference on Decision and Control, 2007
This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations.
Xueping Li 0002, Q. S. Song
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HJB Equations Through Backward Stochastic Differential Equations

2017
This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
Fuhrman, M, Tessitore, G.
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HJB equation based learning scheme for neural networks

2017 International Joint Conference on Neural Networks (IJCNN), 2017
A control theoretic approach is presented in this paper for both batch and instantaneous updates of weights in feed-forward neural networks. The popular Hamilton-Jacobi-Bellman (HJB) equation has been used to generate an optimal weight update law. The main contribution in this paper is that a closed form solutions for both optimal cost and weight ...
Vipul Arora 0001, Laxmidhar Behera, Tharun Kumar Reddy, Ajay Pratap Yadav   +3 more
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