Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

zbMath0890.49011MaRDI QIDQ5906797

Martino Bardi, Italo Capuzzo-Dolcetta

Publication date: 9 September 1997

Published in: Systems \& Control: Foundations \& Applications (Search for Journal in Brave)

zbMATH Keywords

optimal controldynamic programmingHamilton-Jacobi equationviscosity solutiondifferential gamevalue function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Boundary value problems for nonlinear first-order PDEs (35F30) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)

Related Items (only showing first 100 items - show all)

Uniqueness of unbounded viscosity solutions for impulse control problem ⋮ Equivariant deep learning via morphological and linear scale space PDEs on the space of positions and orientations ⋮ Micro- and macroscopic modeling of crowding and pushing in corridors ⋮ A numerical method for solving time-optimal differential games with a lifeline ⋮ Regularity of the minimum time and of viscosity solutions of degenerate eikonal equations via generalized Lie brackets ⋮ Minimax and viscosity solutions of Hamilton-Jacobi-Bellman equations for time-delay systems ⋮ Importance sampling for Jackson networks ⋮ A variational approach to the macroscopic electrodynamics of anisotropic hard superconductors ⋮ Dynamic programming and Lagrange multipliers for active relaxation of resources in nonlinear non-equilibrium systems ⋮ Large deviations analysis for distributed algorithms in an ergodic Markovian environment ⋮ Minimum time control problems for non-autonomous differential equations ⋮ The problem of optimal control with reflection studied through a linear optimization problem stated on occupational measures ⋮ A unifying and rigorous shape from shading method adapted to realistic data and applications ⋮ The geometry of the solution set of nonlinear optimal control problems ⋮ Geometric existence theory for the control-affine \(H_{\infty }\) problem ⋮ Zero-sum state constrained differential games: Existence of value for Bolza problem ⋮ Optimization techniques for state-constrained control and obstacle problems ⋮ Stability analysis of switched systems using variational principles: An introduction ⋮ Singular control with state constraints on unbounded domain ⋮ Regularity of the state constrained minimal time function ⋮ Towards a self-consistent theory of volatility ⋮ A converse Lyapunov theorem for almost sure stabilizability ⋮ Representation formulas for solutions of the HJI equations with discontinuous coefficients and existence of value in differential games ⋮ The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization ⋮ Max-plus summation of Fenchel-transformed semigroups for solution of nonlinear Bellman equations ⋮ Anti-dissipative schemes for advection and application to Hamilton-Jacobi-bellmann equations ⋮ On a system of partial differential equations of Monge--Kantorovich type ⋮ Existence of solutions to a global eikonal equation ⋮ Structure of viability kernels for some linear differential games ⋮ An approximate optimal control for discrete models: its design ⋮ Comparison of the bounded and unbounded feedback controls for the stochastic linear-quadratic problem ⋮ On the value function for nonautonomous optimal control problems with infinite horizon ⋮ Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ (Almost) everything you always wanted to know about deterministic control problems in stratified domains ⋮ Zubov's equation for state-constrained perturbed nonlinear systems ⋮ A note on optimality conditions for optimal exit time problems ⋮ On the LP formulation in measure spaces of optimal control problems for jump-diffusions ⋮ Modified domain decomposition method for Hamilton-Jacobi-Bellman equations ⋮ Zubov's method for controlled diffusions with state constraints ⋮ A nonlinear parabolic equation with discontinuity in the highest order and applications ⋮ A fast marching method for Hamilton-Jacobi equations modeling monotone front propagations ⋮ An efficient data structure and accurate scheme to solve front propagation problems ⋮ Fast sweeping fifth order WENO scheme for static Hamilton-Jacobi equations with accurate boundary treatment ⋮ Primal-lower-nice property of value functions in optimization and control problems ⋮ Weak KAM aspects of convex Hamilton-Jacobi equations with Neumann type boundary conditions ⋮ On optimal control of capital injections by reinsurance and investments ⋮ Application of optimal control techniques and advanced computing to the study of enzyme kinetics ⋮ Optimal dividends under a stochastic interest rate ⋮ Method for computing exterior and interior approximations to the reachability sets of bilinear differential systems ⋮ Central limit theorem under uncertain linear transformations ⋮ A characterization of the reflected quasipotential ⋮ An iterative adaptive dynamic programming method for solving a class of nonlinear zero-sum differential games ⋮ Metric techniques for convex stationary ergodic Hamiltonians ⋮ Asymptotic stability of POD based model predictive control for a semilinear parabolic PDE ⋮ Long-time asymptotic solutions of convex Hamilton-Jacobi equations with Neumann type boundary conditions ⋮ Differential games with a given value function ⋮ Convexity and semiconvexity along vector fields ⋮ Dynamic programming and viscosity solutions for the optimal control of quantum spin systems ⋮ Positional solutions of Hamilton-Jacobi equations in control problems for discrete-continuous systems ⋮ The Peierls-Nabarro model as a limit of a Frenkel-Kontorova model ⋮ Hamilton-Jacobi inequalities and the optimality conditions in the problems of control with common end constraints ⋮ Large-time asymptotics for one-dimensional Dirichlet problems for Hamilton-Jacobi equations with noncoercive Hamiltonians ⋮ Multitime dynamic programming for multiple integral actions ⋮ Local solutions of the Hamilton-Jacobi-Bellman equation for some stochastic problems ⋮ An adaptive domain-decomposition technique for parallelization of the fast marching method ⋮ Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation ⋮ Regularity of viscosity solutions near KAM torus ⋮ Lipschitz continuity and local semiconcavity for exit time problems with state constraints ⋮ The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation ⋮ A sublinear variance bound for solutions of a random Hamilton-Jacobi equation ⋮ Homogenization in \(L^\infty\) ⋮ Families of semipermeable curves in differential games with the homicidal chauffeur dynamics ⋮ Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ Max-plus stochastic control and risk-sensitivity ⋮ Multitime dynamic programming for curvilinear integral actions ⋮ Adjoint and compensated compactness methods for Hamilton-Jacobi PDE ⋮ Hamilton-Jacobi equations with obstacles ⋮ On nonuniqueness of solutions of Hamilton-Jacobi-Bellman equations ⋮ On existence and uniqueness of viscosity solutions for second order fully nonlinear PDEs with Caputo time fractional derivatives ⋮ Fully discrete schemes for monotone optimal control problems ⋮ Filtered schemes for Hamilton-Jacobi equations: a simple construction of convergent accurate difference schemes ⋮ On the regularity of the boundary of the integral funnel of a differential inclusion ⋮ Large time behavior of solutions of Hamilton-Jacobi equations with periodic boundary data ⋮ Exact and approximate correctors for stochastic Hamiltonians: The 1-dimensional case ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ Construction of a generalized solution to an equation that preserves the Bellman type in a given domain of the state space ⋮ A uniqueness result for the quasiconvex operator and first order PDEs for convex envelopes ⋮ Transmission conditions on interfaces for Hamilton-Jacobi-Bellman equations ⋮ Large-time behavior for obstacle problems for degenerate viscous Hamilton-Jacobi equations ⋮ Differential games with asymmetric and correlated information ⋮ On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems ⋮ A differential game with exit costs ⋮ Long-time behavior of first-order mean field games on Euclidean space ⋮ Solution to a zero-sum differential game with fractional dynamics via approximations ⋮ Nonlinear optimal control: a numerical scheme based on occupation measures and interval analysis ⋮ Overcoming the curse of dimensionality for some Hamilton-Jacobi partial differential equations via neural network architectures ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Differentiability properties for a class of non-convex functions

This page was built for publication: Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations