Related papers: Discrete Hamilton-Jacobi Theory
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
We consider a Bolza-type optimal control problem for a dynamical system described by a fractional differential equation with the Caputo derivative of an order $\alpha \in (0, 1)$. The value of this problem is introduced as a functional in a…
A hybrid system is a system whose dynamics is given by a mixture of both continuous and discrete transitions. In particular, these systems can be utilised to describe the dynamics of a mechanical system with impacts. Based on the approach…
We review here some conventional as well as less conventional aspects of the time-independent and time-dependent Hamilton-Jacobi (HJ) theory and of its connections with Quantum Mechanics. Less conventional aspects involve the HJ theory on…
We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a union of half-planes which share a common straight line. This set will be named a junction. We…
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^\infty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati…
We develop dynamical programming methods for the purpose of optimal control of quantum states with convex constraints and concave cost and bequest functions of the quantum state. We consider both open loop and feedback control schemes,…
Policy iteration is a widely used technique to solve the Hamilton Jacobi Bellman (HJB) equation, which arises from nonlinear optimal feedback control theory. Its convergence analysis has attracted much attention in the unconstrained case.…
We present a new efficient computational approach for time-dependent first-order Hamilton-Jacobi-Bellman PDEs. Since our method is based on a time-implicit Eulerian discretization, the numerical scheme is unconditionally stable, but…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
The Hamilton-Jacobi equation of classical mechanics is approached as a model reduction of conservative particle mechanics where the velocity degrees-of-freedom are eliminated. This viewpoint allows an extension of the association of the…
We study the well-posedness of an infinite-dimensional Hamilton-Jacobi equation posed on the set of non-negative measures and with a monotonic non-linearity. Our results will be used in a companion work to propose a conjecture and prove…
A close relationship between the classical Hamilton-Jacobi theory and the kinematic reduction of control systems by decoupling vector fields is shown in this paper. The geometric interpretation of this relationship relies on new…
We study the homogenization of first-order Hamilton-Jacobi equations on an infinite-dimensional Hilbert space, motivated by systems of infinitely many indistinguishable particles on the torus. A central difficulty is that the analysis takes…
Modifying the discrete mechanics proposed by T.D. Lee, we construct a class of discrete classical Hamiltonian systems, in which time is one of the dynamical variables. This includes a toy model of time machines which can travel forward and…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
We consider a Hamilton-Jacobi equation where the Hamiltonian is periodic in space and coercive and convex in momentum. Combining the representation formula from optimal control theory and a theorem of Alexander, originally proved in the…
This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…
This work is devoted to review the modern geometric description of the Lagrangian and Hamiltonian formalisms of the Hamilton--Jacobi theory. The relation with the "classical" Hamiltonian approach using canonical transformations is also…
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear…