نتایج جستجو برای: bellman zadehs principle

تعداد نتایج: 157398  

Journal: :SIAM J. Control and Optimization 2013
Erhan Bayraktar Mihai Sîrbu

We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamic programming principle (DPP). Using Stochastic Perron's method we construct a super-solution lying below the value function and a sub-solution dominating it. A comparison argument easily closes the ...

2005
Fausto Gozzi Carlo Marinelli

We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing classical work of Nerlove and Arrow [30]. In particular, we deal with controlled SDDE where the delay enters both the state and the control. Following ideas of Vinte...

2003
Nicolas Meuleau David E. Smith

For a given problem, the optimal Markov policy over a finite horizon is a conditional plan containing a potentially large number of branches. However, there are applications where it is desirable to strictly limit the number of decision points and branches in a plan. This raises the question of how one goes about finding optimal plans containing only a limited number of branches. In this paper,...

2010
Dominik Karbowski Aymeric Rousseau Sylvain Pagerit Phillip Sharer

Plug-in hybrid electric vehicles (PHEVs) have demonstrated the potential to significantly increase fuel economy. However, the overall efficiency of the powertrain system of any Hybrid Electric Vehicle (HEV) depends on the vehicle-level control strategy. To optimize the energy flow, a global optimization algorithm, based on the Bellman principle, was used to generate the most efficient operating...

2005
Huyên PHAM

This paper studies the problem of a company which expands its stochastic production capacity in irreversible investments by purchasing capital at a given price. The profit production function is of a very general form satisfying minimal standard assumptions. The objective of the company is to find optimal production decisions to maximize its expected total net profit in an infinite horizon. The...

2007
Daniel N. Nikovski

A new fast algorithm for reinforcement learning (RL) in continuous state and action spaces is proposed. Unlike algorithms based on dynamic programming, the proposed algorithm uses neither temporal nor spatial diierencing. Instead, it couples the solution of the Hamilton-Jacobi-Bellman (HJB) partial diierential equation with the structure of the function approximators that are commonly used toge...

1998
D. F. Wang

In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest ...

2004
Winfried Lohmiller Jean-Jacques E. Slotine

Contraction theory is a recently developed dynamic analysis and nonlinear control system design tool based on an exact differential analysis of convergence. This paper extends contraction theory to local and global stability analysis of important classes of nonlinear distributed dynamics, such as convection-diffusion-reaction processes, Lagrangian and Hamilton-Jacobi dynamics, and optimal contr...

2006
A. B. Kurzhanski P. Varaiya

This paper gives a comparison principle for first-order PDEs of the HamiltonJacobi-Bellman type that arise in problems of nonlinear target control synthesis and reachability analysis under hard bounds on the controls. The emphasis is is on treating backward reachability sets for a system with moving target sets which may also turn to be forward reachability tubes of another system. The target s...

2015
Jin Ma Xinyang Wang Jianfeng Zhang JIN MA XINYANG WANG JIANFENG ZHANG

In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility function via a competitive equilibrium argument. Assuming zero resilience, the resulting equilibrium density of the LOB is random, nonlinear, and time inhomogeneous. Consequently, the liquidity cost can be defined dynami...

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