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We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem. Owing to the…
The path-integral control, which stems from the stochastic Hamilton-Jacobi-Bellman equation, is one of the methods to control stochastic nonlinear systems. This paper gives a new insight into nonlinear stochastic optimal control problems…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
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.…
This paper presents the optimal control and synchronization problem of a multilevel network of R\"ossler chaotic oscillators. Using the Hamilton-Jacobi-Bellman (HJB) technique, the optimal control law with three-state variables feedback is…
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…
We consider a Hamiltonian system with 2 degrees of freedom, with a hyperbolic equilibrium point having a loop or homoclinic orbit (or, alternatively, two hyperbolic equilibrium points connected by a heteroclinic orbit), as a step towards…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
This work proposes an optimal safe controller minimizing an infinite horizon cost functional subject to control barrier functions (CBFs) safety conditions. The constrained optimal control problem is reformulated as a minimization problem of…
We consider the problem of time-optimal path planning for simple nonholonomic vehicles. In previous similar work, the vehicle has been simplified to a point mass and the obstacles have been stationary. Our formulation accounts for a…
A procedure for the numerical approximation of high-dimensional Hamilton-Jacobi-Bellman (HJB) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed. Its main ingredients are a…
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…
Stochastic optimal control problems for Hamiltonian dynamics on graphs have wide-ranging applications in mechanics and quantum field theory, particularly in systems with graph-based structures. In this paper, we establish the existence and…
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…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
Autonomous systems have witnessed a rapid increase in their capabilities, but it remains a challenge for them to perform tasks both effectively and safely. The fact that performance and safety can sometimes be competing objectives renders…
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 introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control problems for stochastic differential equations with…
We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…