Related papers: Policy iteration for nonconvex viscous Hamilton--J…
We study the problem of learning individualized dose intervals using observational data. There are very few previous works for policy learning with continuous treatment, and all of them focused on recommending an optimal dose rather than an…
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
Different relaxation approximations to partial differential equations, including conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems, have been recently proposed. The present paper focuses onto…
The viscosity solution of the Hamilton-Jacobi equation was constructed by an "iterated minimax" procedure. Using Dafermos' front tracking method, we give another proof of this construction in the case of Hamilton-Jacobi equations in one…
We present a framework for efficient extraction of the viscosity solutions of nonlinear Hamilton-Jacobi equations with convex Hamiltonians. These viscosity solutions play a central role in areas such as front propagation, mean-field games,…
Solving the Hamilton-Jacobi-Bellman equation is important in many domains including control, robotics and economics. Especially for continuous control, solving this differential equation and its extension the Hamilton-Jacobi-Isaacs…
We prove stochastic homogenization for a general class of coercive, nonconvex Hamilton-Jacobi equations in one space dimension. Some properties of the effective Hamiltonian arising in the nonconvex case are also discussed.
We study the periodic homogenization problem of state-constraint Hamilton--Jacobi equations on perforated domains in the convex setting and obtain the optimal convergence rate. We then consider a dilute situation in which the holes'…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
We investigate the large-time behavior of three types of initial-boundary value problems for Hamilton-Jacobi Equations with nonconvex Hamiltonians. We consider the Neumann or oblique boundary condition, the state constraint boundary…
In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…
We consider a numerical scheme for the one dimensional time dependent Hamilton-Jacobi equation in the periodic setting. We present a new and simple proof of the rate of convergence of the approximations based on the adjoint method recently…
In this paper, we numerically address the inverse problem of identifying a time-dependent coefficient in the time-fractional diffusion equation. An a priori estimate is established to ensure uniqueness and stability of the solution. A fully…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
We study the optimal convergence rate for homogenization problem of convex Hamilton-Jacobi equations when the Hamitonian is periodic with respect to spatial and time variables, and notably time-dependent. We prove a result similar to that…
We study the asymptotic behavior of solutions to the Dirichlet problem for Hamilton-Jacobi equations with large drift terms, where the drift terms are given by the Hamiltonian vector fields of Hamiltonian $H$. This is an attempt to…
We study the speed of convergence in $L^\infty$ norm of the vanishing viscosity process for Hamilton-Jacobi equations with uniformly or strictly convex Hamiltonian terms with superquadratic behavior. Our analysis boosts previous findings on…
We study a reduced hydrodynamic formulation of paraxial vector beam propagation in which the beam intensity, optical phase, and spatially-dependent polarization are coupled through a nonlinear dispersive system. While prior analytical work…
This papers deals with a construction and convergence analysis of a finite difference scheme for solving time-fractional porous medium equation. The governing equation exhibits both nonlocal and nonlinear behaviour making the numerical…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…