Related papers: Linear Hamilton Jacobi Bellman Equations in High D…
For continuous systems modeled by dynamical equations such as ODEs and SDEs, Bellman's Principle of Optimality takes the form of the Hamilton-Jacobi-Bellman (HJB) equation, which provides the theoretical target of reinforcement learning…
Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
We consider the problem of computing safety regions, modeled as nonconvex backward reachable sets, for a nonlinear car collision avoidance model with time-dependent obstacles. The Hamilton-Jacobi-Bellman framework is used. A new formulation…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
This paper presents a two-stage framework for constrained near-optimal feedback control of input-affine nonlinear systems. An approximate value function for the unconstrained control problem is computed offline by solving the…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
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…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
A new framework for formulating reachability problems with competing inputs, nonlinear dynamics and state constraints as optimal control problems is developed. Such reach-avoid problems arise in, among others, the study of safety problems…
Hamilton-Jacobi (HJ) reachability analysis is an important formal verification method for guaranteeing performance and safety properties of dynamical systems; it has been applied to many small-scale systems in the past decade. Its…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
This article is devoted to the study of lower semicontinuous solutions of Hamilton-Jacobi equations with convex Hamiltonians in a gradient variable. Such Hamiltonians appear in the optimal control theory. We present a necessary and…
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…
We consider a deterministic optimal control problem with a maximum running cost functional, in a finite horizon context, and propose deep neural network approximations for Bellman's dynamic programming principle, corresponding also to some…
The numerical realization of the dynamic programming principle for continuous-time optimal control leads to nonlinear Hamilton-Jacobi-Bellman equations which require the minimization of a nonlinear mapping over the set of admissible…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
In this paper we present a new algorithm for the solution of Hamilton-Jacobi-Bellman equations related to optimal control problems. The key idea is to divide the domain of computation into subdomains which are shaped by the optimal dynamics…