Results 51 to 60 of about 1,725 (192)

Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization

Journal of Mathematics, 2023
In this paper, we consider a portfolio optimization problem where the wealth consists of investing into a risky asset with a slow mean-reverting volatility and receiving an uncontrollable stochastic cash flow under the exponential utility.
Lei Hu
doaj   +1 more source

Adaptive Actor–Critic Optimal Tracking Control for a Class of High-Order Nonlinear Systems with Partially Unknown Dynamics

Actuators
Optimal tracking control for high-order partially unknown nonlinear systems poses significant challenges, particularly in deriving tractable solutions without requiring persistent excitation (PE) conditions or precise system models.
Dengguo Xu, Xinsuo Li, Fapeng Li, Jingbei Tian   +3 more
doaj   +1 more source

Dynamic Programming and Hamilton–Jacobi–Bellman Equations on Time Scales

Complexity, 2020
Bellman optimality principle for the stochastic dynamic system on time scales is derived, which includes the continuous time and discrete time as special cases.
Yingjun Zhu, Guangyan Jia
doaj   +1 more source

Regular and exploratory resource extraction models considering sustainability

Results in Applied Mathematics
We formulate an optimal control problem of resource extraction, where a decision maker with sustainability concern dynamically controls the extraction rate. We assume harvesting to increase profit and incur a risk of resource depletion and aim to resolve
Hidekazu Yoshioka
doaj   +1 more source

Optimal control in an inventory management problem considering replenishment lead time based upon a non-diffusive stochastic differential equation

Journal of Advanced Mechanical Design, Systems, and Manufacturing, 2019
An inventory management problem is theoretically discussed for a factory having effects of lead times in replenishing the inventory, where it stocks materials used for its products.
Hiroaki T.-KANEKIYO, Shinjiro AGATA
doaj   +1 more source

A New Scheme for Discrete HJB Equations

Applied Mathematics, 2014
In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.
openaire   +2 more sources

An Example of Solving HJB Equations Using Sparse Grid for Feedback Control [PDF]

, 2015
It is well known that solving the Hamilton-Jacobi- Bellman (HJB) equation in moderate and high dimensions (d > 3) suffers the curse of dimensionality.
Lucas Wilcox, Kang, Wei, Wilcox, Lucas, Wei Kang   +3 more
core   +1 more source

Image Restoration via the Integration of Optimal Control Techniques and the Hamilton–Jacobi–Bellman Equation

Mathematics
In this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
doaj   +1 more source

An iterative algorithm for a quasivariational inequality system related to HJB equation

, 2008
This paper presents a new iterative algorithm for a quasivariational inequality system related to HJB equation. A domain decomposition method based on this algorithm is proposed.
Zhou, Shuzi, Zou, Zhanyong
core   +1 more source

Virtual element methods for HJB equations with Cordes coefficients

Computer Methods in Applied Mechanics and Engineering
In this paper, we propose and analyze both conforming and nonconforming virtual element methods (VEMs) for the fully nonlinear second-order elliptic Hamilton-Jacobi-Bellman (HJB) equations with Cordes coefficients. By incorporating stabilization terms, we establish the well-posedness of the proposed methods, thus avoiding the need to construct a ...
Ying Cai, Hailong Guo, Zhimin Zhang
openaire   +2 more sources