Related papers: Fractional Order Version of the HJB Equation
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…
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.…
A Hamilton-Jacobi equation with Caputo's time-fractional derivative of order less than one is considered. The notion of a viscosity solution is introduced to prove unique existence of a solution to the initial value problem under periodic…
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
In this paper we develop a fractional Hamilton-Jacobi formulation for discrete systems in terms of fractional Caputo derivatives. The fractional action function is obtained and the solutions of the equations of motion are recovered. An…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…
In the present paper fractional Hamilton-Jacobi equation has been derived for dynamical systems involving Caputo derivative. Fractional Poisson-bracket is introduced. Further Hamilton's canonical equations are formulated and quantum wave…
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…
In this paper, we are concerned with the classical solvability of a class of second-order Hamilton-Jacobi-Bellman equations (HJB equations) arising from stochastic optimal control problems with linear dynamics and uniformly convex cost…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
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…
This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…
We generalize the Hamilton-Jacobi formulation for higher order singular systems and obtain the equations of motion as total differential equations. To do this we first study the constraint structure present in such systems.
Presented is a method for efficient computation of the Hamilton-Jacobi (HJ) equation for time-optimal control problems using the generalized Hopf formula. Typically, numerical methods to solve the HJ equation rely on a discrete grid of the…
Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without…
The objective of designing a control system is to steer a dynamical system with a control signal, guiding it to exhibit the desired behavior. The Hamilton-Jacobi-Bellman (HJB) partial differential equation offers a framework for optimal…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…