Optimal Control with State-Space Constraint I

DOI10.1137/0324032zbMath0597.49023OpenAlexW2141616022WikidataQ57636105 ScholiaQ57636105MaRDI QIDQ3730524

Halil Mete Soner

Publication date: 1986

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0324032

zbMATH Keywords

viscosity subsolutionviscosity supersolutionoptimal value functionHamilton-Jacobi-Bellman (HJB) equationdeterministic optimal control problemstate space constraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimal stochastic control (93E20) Diffusion processes (60J60) Generalized solutions to partial differential equations (35D99)

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

Shape-from-shading, viscosity solutions and edges ⋮ Markowitz's mean-variance optimization with investment and constrained reinsurance ⋮ Effective nonlinear Neumann boundary conditions for 1D nonconvex Hamilton-Jacobi equations ⋮ A splitting algorithm for Hamilton-Jacobi-Bellman equations ⋮ Computational aspects in applied stochastic control ⋮ Convexity preserving properties for Hamilton-Jacobi equations in geodesic spaces ⋮ Numerical schemes for investment models with singular transactions ⋮ Global optimization of arborescent multilevel inventory systems ⋮ Local fields of extremals for optimal control problems with state constraints of relative degree 1 ⋮ A unifying and rigorous shape from shading method adapted to realistic data and applications ⋮ Convex viscosity solutions and state constraints ⋮ SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms ⋮ Singular control with state constraints on unbounded domain ⋮ Stochastic optimal control in infinite dimensions with state constraints ⋮ Asymptotic solutions of Hamilton-Jacobi equations with state constraints ⋮ Optimal times for constrained nonlinear control problems without local controllability ⋮ Regularity of the state constrained minimal time function ⋮ Utility maximization in an illiquid market in continuous time ⋮ Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem ⋮ Nonsmooth semipermeable Barriers, Isaacs' equation, and application to a differential game with one target and two players ⋮ On relations of the adjoint state to the value function for optimal control problems with state constraints ⋮ Weak and generic bang-bang properties for continuous evolution inclusions and Baire's method ⋮ Optimal production and pricing strategies in a dynamic model of monopolistic firm ⋮ Hamilton-Jacobi equations constrained on networks ⋮ Hölder estimates for trajectories of differential inclusions and HJB equations with state constraints ⋮ Nonlinear systems with unbounded controls and state constraints: A problem of proper extension ⋮ Flux-limited solutions and state constraints for quasi-convex Hamilton-Jacobi equations in multidimensional domains ⋮ Lower semicontinuous solutions for a class of Hamilton-Jacobi-Bellman equations ⋮ Hierarchical production policies in stochastic two-machine flowshops with finite buffers ⋮ Discrete dynamic programming and viscosity solutions of the Bellman equation ⋮ State-constrained optimal control problems of impulsive differential equations ⋮ Multi-target control problems ⋮ Regularity of solution maps of differential inclusions under state constraints ⋮ Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms ⋮ Global results for eikonal Hamilton-Jacobi equations on networks ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Zubov's equation for state-constrained perturbed nonlinear systems ⋮ Dynamic programming principle of control systems on manifolds and its relations to maximum principle ⋮ On dynamic programming principle for stochastic control under expectation constraints ⋮ Waiting time effect for motion by positive second derivatives and applications ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints ⋮ Infinite horizon optimal control problems with multiple thermostatic hybrid dynamics ⋮ Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints ⋮ Optimal portfolio and consumption selection with default risk ⋮ Discontinuous control problems with state constraints: linear formulations and dynamic programming principles ⋮ A relaxation result for state constrained inclusions in infinite dimension ⋮ About an optimal visiting problem ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Necessary optimality conditions for infinite dimensional state constrained control problems ⋮ Differential games of fixed duration with state constraints ⋮ Numerical analysis of an inverse problem for the eikonal equation ⋮ Viscosity solutions of fully nonlinear second-order elliptic partial differential equations ⋮ The Mather problem for lower semicontinuous Lagrangians ⋮ Mean field games and applications: numerical aspects ⋮ Homogenization of Hamilton-Jacobi equations in perforated sets ⋮ Hamilton-Jacobi-Bellman equations with time-measurable data and infinite horizon ⋮ Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms ⋮ Existence of neighboring feasible trajectories: applications to dynamic programming for state-constrained optimal control problems ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ Filippov's and Filippov-Ważewski's theorems on closed domains ⋮ One-sided Perron differential inclusions ⋮ Global optimal vaccination in the SIR model: properties of the value function and application to cost-effectiveness analysis ⋮ Legendre transform and applications to finite and infinite optimization ⋮ Infinite reload options: pricing and analysis ⋮ Optimal management of pumped hydroelectric production with state constrained optimal control ⋮ A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks ⋮ The state constrained bilateral minimal time function ⋮ A long-term mathematical model for mining industries ⋮ Domain decomposition based parallel Howard's algorithm ⋮ Homogenization of a transmission problem with Hamilton-Jacobi equations and a two-scale interface. Effective transmission conditions ⋮ Forward dynamic utility functions: a new model and new results ⋮ Infinite horizon problems on stratifiable state-constraints sets ⋮ Semiconcavity results for constrained optimal control problems in a half-space ⋮ Hamilton-Jacobi characterization of the state constrained value ⋮ Representation of weak solutions of convex Hamilton-Jacobi-Bellman equations on infinite horizon ⋮ Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations ⋮ Mean field games with state constraints: from mild to pointwise solutions of the PDE system ⋮ Convexity of solutions and \(C^{1,1}\) estimates for fully nonlinear elliptic equations ⋮ Large time behavior of solutions of Hamilton-Jacobi equations with periodic boundary data ⋮ Dynamic mean-variance problem with constrained risk control for the insurers ⋮ Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem ⋮ C\(^{1,1}\)-smoothness of constrained solutions in the calculus of variations with application to mean field games ⋮ On the relation between discounted and average optimal value functions ⋮ On reachable sets for a class of nonlinear systems with constraints ⋮ Optimal exploitation of a resource with stochastic population dynamics and delayed renewal ⋮ State constrained control problems with neither coercivity nor \(L^1\) bounds on the controls ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs ⋮ Viscosity solutions and optimal control problems with integral constraints ⋮ A differential game with exit costs ⋮ Evasive path planning under surveillance uncertainty ⋮ Vanishing discount problem and the additive eigenvalues on changing domains ⋮ Existence and characterization of the values of two player differential games with state constraints ⋮ Incentive compatibility constraints and dynamic programming in continuous time ⋮ Semicontinuous solutions of Hamilton-Jacobi-Bellman equations with degenerate state constraints ⋮ Second-order necessary conditions in optimal control of evolution systems ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models ⋮ Stability of solutions to Hamilton-Jacobi equations under state constraints ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ On the stochastic SIS epidemic model in a periodic environment

This page was built for publication: Optimal Control with State-Space Constraint I