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Showing 1 to 20 of 34 for “"Hamilton-Jacobi-Bellman"”.
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Hamilton-Jacobi-Bellman equation for stochastic optimal control: Applications to spacecraft attitude control
… dynamics is derived through formulation of the Hamilton-Jacobi-Bellman equation associated with a stochastic differential equation. The solution to the Hamilton-Jacobi-Bellman partial differential equation is approximated through the method of Al’brekht [1]. Extension of Albrekht method for a …
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A new method for suboptimal control of a class of nonlinear systems
… by finding an approximate solution to the Hamilton-Jacobi-Bellman (HJB) equation."--Abstract, page iii.
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Superreplication method for multi-asset barrier options.
… using rather standard arguments we derive the Hamilton-Jacobi-Bellman equation for the value function. We show that the value function is a unique viscosity solution of the Hamilton-Jacobi-Bellman equation. Then we define the super price and superhedging strategy for the barrier options and …
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Modelling of asset allocation in banking using the mean-variance approach
… which are the so called martingale method and Hamilton Jacobi Bellman method. We shall follow the latter. As is common in portfolio op- timization problems, we obtain an explicit solution for the value function in the Hamilton Jacobi Bellman equation. Our approach to the portfolio prob- lem is …
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Merton Investment Problem for the Hawkes-based Risk Model
… programming method to derive the stochastic Hamilton-Jacobi-Bellman (SHJB) equation satisfied by the value function. The stochastic HJB equation yields a means to obtain the optimal control and thus the optimally controlled stochastic differential equation. Finally, using the claim size from …
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Reinsurance and dividend management
… partial differential equation known as Hamilton-Jacobi-Bellman equation. We find out that the optimal retention level is linear with the current reserve up to a point whereupon it is optimal for the insurance company to retain all business. As for the optimal dividend payout scheme, we …
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Numerical Estimation of L2 Gain for Nonlinear Input-Output Systems
… recently developed method that solves a class of Hamilton-Jacobi-Bellman equations via a Taylor series-based approximation, which is scalable to high-dimensional problems given the utilization of linear tensor systems. The ideas are demonstrated through a few concrete examples that include a …
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A pure-jump market-making model for high-frequency trading
… condition cannot be formulated using classical Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI), so we extend the framework of constrained forward backward stochastic differential equation (CFBSDE) to solve our optimal control problem.</p>
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Optimal control of stochastic partial differential equations in Banach spaces
… different approaches. In the first part we study Hamilton-Jacobi-Bellman equations (HJB) in Banach spaces associated with optimal feedback control of a class of non-autonomous semilinear stochastic evolution equations driven by additive noise. We prove the existence and uniqueness of mild …
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Analysis of Continuous Tensor-Train Methods for Optimal Control Problems with the Ornstein-Uhlenbeck Operator
… Continuous Computation in solving time-dependent Hamilton-Jacobi-Bellman partial differential equations for a limited class of systems whose aforementioned solutions are exactly known by calculating point-wise squared deviations and L2 errors between computed and analytical solutions. We find that …
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Qualitative Properties Of Solutions Of Fully Nonlinear Equations And Overdetermined Problems
… and monotonicity results also</p> <p>apply to Hamilton-Jacobi-Bellman or Isaccs equations. A new maximum</p> <p>principle for viscosity solutions to fully nonlinear elliptic equations is established. In section 3, We establish Liouville-type theorems and decay estimates for viscosity solutions …
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Stochastic Control, Optimal Saving, and Job Search in Continuous Time
… tools, the change-of-variables formula and the Hamilton-Jacobi-Bellman equation under Poisson uncertainty. We extend their possible field of application in order make them appropriate for the analysis of the dynamic stochastic optimization problems occurring in the following chapters and …
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Optimal choices: mean field games with controlled jumps and optimality in a stochastic volatility model
… in the control itself. The solvability of the Hamilton-Jacobi-Bellman equation associated to this optimal control problem is discussed.
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A State Space Partitioning Scheme for Vehicle Control in Pursuit-Evasion Scenarios
… are incorporated into the control by solving the Hamilton-Jacobi-Isaacs (HJI) equation explicitly, simplifying the solution using approximate dynamic programming, or using a purely finite-horizon approach. Unfortunately, these methods are either subject to difficulties of long computational times …
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Approximate dynamic programming solutions with a single network adaptive critic for a class of nonlinear systems
… evolved as a powerful technique for solving the Hamilton-Jacobi-Bellman (HJB) equations. As interest in ADP and the AC solutions are escalating with time, there is a dire need to consider possible enabling factors for their implementations. A typical AC structure consists of two interacting NNs …
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Finite time suboptimal control design of nonlinear systems with θ-D technique and implementation to aerospace applications
… that, the approximated solutions to intractable Hamilton-Jacobi-Bellman (HJB) equation were acquired by putting vanishing perturbation terms into the performance index. By tuning the parameters in perturbation terms, semi-global stability and sub-optimalilty was guaranteed. By taking the …
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Approximate Dynamic Programming with Applications
… the optimal value function must satisfy a Hamilton-Jacobi-Bellman type equation. Two common methods for solving such equations are policy iteration and value iteration. Both these methods are studied in this thesis.An approximate policy iteration algorithm is presented for both the …
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Essays in financial economics
… function can be reverse engineered so that the Hamilton-Jacobi-Bellman (HJB) equation corresponding to the dynamic optimization problem is identically zero. This provides a testing ground for solution methods. Chapter 2 leverages the algorithm developed in chapter 1 to do structural estimation …
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A generalized label correcting method for optimal kinodynamic motion planning
… are used to derive a generalization of Bellman's principle of optimality in the context of kinodynamic motion planning. A generalized label correcting algorithm is then proposed which leverages these results to prune candidate input signals from the search when their cost is greater than …
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Aportaciones al control H∞ de sistemas multivariables
… y aportando una solución a la ecuación de Hamilton-Jacobi-Bellman-Isaacs planteada.El controlador ha sido reescrito en una estructura similar a la del control por par calculado, de forma que el controlador externo resultante tiene la ecuación de un PID no lineal. Además, se ha mostrado como …
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