Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems with fractional discount rate
Optimization and Control
2022-11-22 v1
Abstract
This paper derives the Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems for cost functions with fractional discount rate from the Bellman's principle of optimality. The fractional discount rate is described by Mittag-Leffler function that can be considered as a generalized exponential function.
Keywords
Cite
@article{arxiv.2211.11196,
title = {Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems with fractional discount rate},
author = {Gou Nishida and Takamatsu Takahiro and Noboru Sakamoto},
journal= {arXiv preprint arXiv:2211.11196},
year = {2022}
}