Results 11 to 20 of about 1,725 (192)
Asymptotic Behavior of an Optimal Investment-Reinsurance Problem with General Utility Functions
Discrete Dynamics in Nature and Society, 2022 It is usually extremely difficult to derive an analytical solution to the Hamilton-Jacobi-Bellman (HJB) equation for some optimal control problems under general utility functions, while this paper provides a dual control method to solve the HJB equation ...
Yan Zhang, Peibiao Zhao
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IET Control Theory & Applications, 2021 Otimal tracking control of discrete‐time non‐linear systems is investigated in this paper. The system drift dynamics is unknown in this investigation. Firstly, in the light of the discrete‐time non‐linear systems and reference signal, an augmented system
Jingang Zhao, Prateek Vishal
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PINN-based viscosity solution of HJB equation
CoRR, 2023 This paper proposed a novel PINN-based viscosity solution for HJB equations. Although there exists work using PINN to solve HJB, but none of them gives the solution in viscosity sense. This paper reveals the fact that using the convex neural network, one can guarantee the viscosity solution and thus the neural network can easily converge to the true ...
Tianyu Liu 0003 +3 more
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Constrained utility deviation-risk optimization and time-consistent HJB equation [PDF]
, 2020 In this paper we propose a unified utility deviation-risk model which covers both utilitymaximization and mean-variance analysis as special cases.
Zheng, Harry, gu, jiawen, Si, Shijing
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Entropy, 2022 In this paper, a robust trajectory tracking control method with state constraints and uncertain disturbances on the ground of adaptive dynamic programming (ADP) is proposed for nonlinear systems.
Chunbin Qin +3 more
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Series Solution of Stochastic HJB Equations [PDF]
2019 IEEE 58th Conference on Decision and Control (CDC), 2019 We consider infinite horizon, stochastic, smooth optimal control problems in continuous time where the coefficients of the white Gaussian noise terms in the dynamics vanish at the origin. We show how the Taylor polynomials of the optimal cost and the optimal feedback can be computed degree by degree. This is a generaliztion of the work of Al’brekht who
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Optimal Dividends for a Two-Dimensional Risk Model with Simultaneous Ruin of Both Branches
Risks, 2022 We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative.
Philipp Lukas Strietzel +1 more
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Optimization of Boiler Soot Blowing Based on Hamilton-Jacobi-Bellman Equation
IEEE Access, 2019 In this paper, the optimization of the boiler soot blowing is investigated based on the Hamilton-Jacobi-Bellman (HJB) equation and from the standpoint of the equipment health management.
Jie Wen +4 more
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On Stability of Perturbed Nonlinear Switched Systems with Adaptive Reinforcement Learning
Energies, 2020 In this paper, a tracking control approach is developed based on an adaptive reinforcement learning algorithm with a bounded cost function for perturbed nonlinear switched systems, which represent a useful framework for modelling these converters, such ...
Phuong Nam Dao +3 more
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Cogent Engineering, 2020 Motivated by modeling an unmanned aerial vehicle at a constant altitude plane above ground level as Dubins vehicle with signed upper-bounded curvature as constrained input and the flight path as Dubins path, the class of flight paths we study is ...
Han-Jung Chou +2 more
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