Related papers: Infinite-dimensional Hamilton-Jacobi equations for…
We propose an approach for the synthesis of robust and optimal feedback controllers for nonlinear PDEs. Our approach considers the approximation of infinite-dimensional control systems by a pseudospectral collocation method, leading to…
Computing tasks may often be posed as optimization problems. The objective functions for real-world scenarios are often nonconvex and/or nondifferentiable. State-of-the-art methods for solving these problems typically only guarantee…
In this paper, we develop algorithms to overcome the curse of dimensionality in possibly non-convex state-dependent Hamilton-Jacobi equations (HJ PDEs) arising from optimal control and differential game problems. The subproblems are…
We prove that the viscosity solution to a Hamilton-Jacobi equation with a smooth convex Hamiltonian of the form $H(x,p)$ is differentiable with respect to the initial condition. Moreover, the directional G\^ateaux derivatives can be…
This paper establishes the existence, uniqueness, and global $C^{1,\beta}$ regularity of positive classical solutions to a class of quasilinear Hamilton--Jacobi--Bellman (HJB) equations with Dirichlet boundary conditions on bounded convex…
The original motivation for this paper was to provide an efficient quantitative analysis of convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional (resp. finite-dimensional)…
We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively lipschitz continuous) final conditions. This allows to study…
This paper is devoted to the stochastic optimal control problem of infinite-dimensional differential systems allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases studied by…
The equivalence between logarithmic Sobolev inequalities and hypercontractivity of solutions of Hamilton-Jacobi equations has been proved in [5]. We consider a semi-Lagrangian approximation scheme for the Hamilton-Jacobi equation and we…
We focus on the global semiconcavity of solutions to first-order Hamilton--Jacobi equations with state constraints, especially for the Hamiltonian $H(x, \beta):=|\beta|^p-f(x)$ with $p \in (1, 2]$. We first show that the solution is locally…
We show that any classical solution of the diffusive Hamilton-Jacobi (DHJ) equation $-\Delta u= |\nabla u|^p$ in a half-space with zero boundary conditions for $1<p\le 2$ is necessarily one-dimensional. This improves the previously known…
In a stationary case and for any potential, we solve the three-dimensional quantum Hamilton-Jacobi equation in terms of the solutions of the corresponding Schrodinger equation. Then, in the case of separated variables, by requiring that the…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…
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 solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous final condition, and asking only a weak regularizing property…
As a continuation of Rabei et al. work [11], the Hamilton- Jacobi partial differential equation is generalized to be applicable for systems containing fractional derivatives. The Hamilton- Jacobi function in configuration space is obtained…
We consider a class of elliptic variational-hemivaria\-tional inequalities in a abstract Banach space for which we introduce the concept of well-posedness in the sense of Tykhonov. We characterize the well-posedness in terms of metric…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
In recent years there has been intense interest in the vanishing discount problem for Hamilton-Jacobi equations. In the case of the scalar equation, B. Ziliotto has recently given an example of the Hamilton-Jacobi equation having non-convex…