Related papers: Discrete Hamilton-Jacobi Theory
Recently the Hamilton-Jacobi formulation for first order constrained systems has been developed. In such formalism the equations of motion are written as total differential equations in many variables. We generalize the Hamilton-Jacobi…
We extend Hamilton-Jacobi theory to Lagrange-Dirac (or implicit Lagrangian) systems, a generalized formulation of Lagrangian mechanics that can incorporate degenerate Lagrangians as well as holonomic and nonholonomic constraints. We refer…
We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively lipschitz continuous) final conditions. This allows to study…
In this paper we consider a class of conjugate discrete-time Riccati equations, arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Under mild and reasonable assumptions, the existence of…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
In the paper we study the following problem: given a Hamilton-Jacobi equation where the Hamiltonian is convex with respect to the last variable, are there any optimal control problems representing it? In other words, we search for an…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
In this paper, we apply the geometric Hamilton--Jacobi theory to obtain solutions of classical hamiltonian systems that are either compatible with a cosymplectic or a contact structure. As it is well known, the first structure plays a…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…
In recent years it has been shown for hard sphere gas that, by retaining the correlation information, dynamical fluctuation and large deviation of empirical measure around Boltzmann equation could be proved, in addition to the classical…
In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
Maximum entropy reinforcement learning (RL) methods have been successfully applied to a range of challenging sequential decision-making and control tasks. However, most of existing techniques are designed for discrete-time systems. As a…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
We consider a stochastic discretization of the stationary viscous Hamilton Jacobi equation on the flat d dimensional torus, associated with a Hamiltonian, convex and superlinear in the momentum variable. We show that each discrete problem…
This paper formulates optimal control problems for rigid bodies in a geometric manner and it presents computational procedures based on this geometric formulation for numerically solving these optimal control problems. The dynamics of each…
The paper deals with a class of time-inconsistent control problems for McKean-Vlasov dynamics. By solving a backward time-inconsistent Hamilton-Jacobi-Bellman (HJB for short) equation coupled with a forward distribution-dependent stochastic…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…