Ergodic Type Bellman Equations of Risk-Sensitive Control
نویسندگان
چکیده
منابع مشابه
On the Structure of Solutions of Ergodic Type Bellman Equation Related to Risk-sensitive Control
Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential quadratic Gaussian control problem. In this paper we prove that the equation in general has multiple solutions. We shall specify the set of all the classical solu...
متن کاملErgodic Control of Semilinear Stochastic Equations and Hamilton-jacobi Equations
In this paper we consider optimal control of stochastic semilinear equations with linearly increasing drift and cylindrical noise. We show existence and uniqueness (up to an additive constant) of solutions to the stationary Hamilton-Jacobi equation associated with the cost functional given by the asymptotic average per unit time cost. As a consequence we nd the optimizing controls given in the ...
متن کاملBellman equations for optimal feedback control of qubit states
Using results from quantum filtering theory and methods from classical control theory, we derive an optimal control strategy for an open two-level system (a qubit in interaction with the electromagnetic field) controlled by a laser. The aim is to optimally choose the laser’s amplitude and phase in order to drive the system into a desired state. The Bellman equations are obtained for the case of...
متن کاملHamilton-Jacobi-Bellman Equations
This work treats Hamilton-Jacobi-Bellman equations. Their relation to several problems in mathematics is presented and an introduction to viscosity solutions is given. The work of several research articles is reviewed, including the Barles-Souganidis convergence argument and the inaugural papers on mean-field games. Original research on numerical methods for Hamilton-Jacobi-Bellman equations is...
متن کاملMixed Finite Element Methods for Hamilton-Jacobi-Bellman Type Equations
The numerical solution of Dirichlet's problem for a second order elliptic operator in divergence form with arbitrary nonlinearities in the rst and zero order terms is considered. The mixed nite element method is used. Existence and uniqueness of the approximation are proved and optimal error estimates in L are demonstrated for the relevant functions. Error estimates are also derived in L, 2 q +...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 2000
ISSN: 2188-4730,2188-4749
DOI: 10.5687/sss.2000.89