Related papers: Two semi-Lagrangian fast methods for Hamilton-Jaco…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
We analyse two practical aspects that arise in the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide…
In the first part of the paper, we propose and rigorously analyze a mixed finite element method for the approximation of the periodic strong solution to the fully nonlinear second-order Hamilton--Jacobi--Bellman equation with coefficients…
We study the solution theory of the whole-space static (elliptic) Hamilton-Jacobi-Bellman (HJB) equation in spectral Barron spaces. We prove that under the assumption that the coefficients involved are spectral Barron functions and the…
In this paper, we introduce Hamilton-Jacobi-Bellman (HJB) equations for Q-functions in continuous time optimal control problems with Lipschitz continuous controls. The standard Q-function used in reinforcement learning is shown to be the…
This paper presents a new narrow-stencil finite difference method for approximating the viscosity solution of second order fully nonlinear elliptic partial differential equations including Hamilton-Jacobi-Bellman equations. The proposed…
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…
This work proposes a higher-order iterative framework for solving matrix equations, inspired by the structure and functionality of neural networks. A modification of the classical Jacobi iterative method is introduced to compute…
The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems…
We study the numerical approximation of time-dependent, possibly degenerate, second-order Hamilton-Jacobi-Bellman equations in bounded domains with nonhomogeneous Dirichlet boundary conditions. It is well known that convergence towards the…
The Fast Multipole Method (FMM) provides a highly efficient computational tool for solving constant coefficient partial differential equations (e.g. the Poisson equation) on infinite domains. The solution to such an equation is given as the…
We use the adjoint methods to study the static Hamilton-Jacobi equations and to prove the speed of convergence for those equations. The main new ideas are to introduce adjoint equations corresponding to the formal linearizations of…
In this paper, we propose a novel Hermite weighted essentially non-oscillatory (HWENO) fast sweeping method to solve the static Hamilton-Jacobi equations efficiently. During the HWENO reconstruction procedure, the proposed method is built…
In this work we present a formal generalization of the Hamilton-Jacobi formalism, recently developed for singular systems, to include the case of Lagrangians containing variables which are elements of Berezin algebra. We derive the…
In this paper we study the convergence of monotone $P1$ finite element methods for fully nonlinear Hamilton-Jacobi-Bellman equations with degenerate, isotropic diffusions. The main result is strong convergence of the numerical solutions in…
Using the Hamilton-Jacobi method, we solve chemical Fokker-Planck equations within the Gaussian approximation and obtain a simple and compact formula for a conditional probability distribution. The formula holds in general transient…
We describe a suite of fast algorithms for evaluating Jacobi polynomials, applying the corresponding discrete Sturm-Liouville eigentransforms and calculating Gauss-Jacobi quadrature rules. Our approach is based on the well-known fact that…
In this note, we characterize the solution of a system of elliptic integro-differential equations describing a phe-notypically structured population subject to mutation, selection and migration. Generalizing an approach based on…
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…