Optimal Control with State-Space Constraint I
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deterministic optimal control problemHamilton-Jacobi-Bellman (HJB) equationoptimal value functionstate space constraintsviscosity subsolutionviscosity supersolution
Generalized solutions to partial differential equations (35D99) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)
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Cited in
(only showing first 100 items - show all)- Dynamic mean-variance problem with constrained risk control for the insurers
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Discrete dynamic programming and viscosity solutions of the Bellman equation
- Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
- On the relation between discounted and average optimal value functions
- On reachable sets for a class of nonlinear systems with constraints
- Shape-from-shading, viscosity solutions and edges
- A splitting algorithm for Hamilton-Jacobi-Bellman equations
- Computational aspects in applied stochastic control
- Convex viscosity solutions and state constraints
- Optimal times for constrained nonlinear control problems without local controllability
- Nonsmooth semipermeable Barriers, Isaacs' equation, and application to a differential game with one target and two players
- Multi-target control problems
- State constrained control problems with neither coercivity nor \(L^1\) bounds on the controls
- Viscosity solutions and optimal control problems with integral constraints
- Discontinuous Mayer control problem under state-constraints
- Incentive compatibility constraints and dynamic programming in continuous time
- Semicontinuous solutions of Hamilton-Jacobi-Bellman equations with degenerate state constraints
- Convexity preserving properties for Hamilton-Jacobi equations in geodesic spaces
- Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms
- Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
- Optimal dividend and investment problems under Sparre Andersen model
- Necessary optimality conditions for infinite dimensional state constrained control problems
- 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
- Homogenization of a transmission problem with Hamilton-Jacobi equations and a two-scale interface. Effective transmission conditions
- Semiconcavity results for constrained optimal control problems in a half-space
- Hamilton-Jacobi characterization of the state constrained value
- Optimality principles and representation formulas for viscosity solutions of Hamilton-Jacobi equations. II. Equations of control problems with state constraints
- Numerical schemes for investment models with singular transactions
- Global optimization of arborescent multilevel inventory systems
- Generalized Bellman-Hamilton-Jacobi optimality conditions for a control problem with a boundary condition
- Nonlinear systems with unbounded controls and state constraints: A problem of proper extension
- Lower semicontinuous solutions for a class of Hamilton-Jacobi-Bellman equations
- Hierarchical production policies in stochastic two-machine flowshops with finite buffers
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- 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
- Homogenization of Hamilton-Jacobi equations in perforated sets
- Existence of neighboring feasible trajectories: applications to dynamic programming for state-constrained optimal control problems
- Filippov's and Filippov-Ważewski's theorems on closed domains
- Domain decomposition based parallel Howard's algorithm
- Representation of weak solutions of convex Hamilton-Jacobi-Bellman equations on infinite horizon
- Mean field games with state constraints: from mild to pointwise solutions of the PDE system
- Vanishing discount problem and the additive eigenvalues on changing domains
- Second-order necessary conditions in optimal control of evolution systems
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms
- Stochastic optimal control in infinite dimensions with state constraints
- On dynamic programming principle for stochastic control under expectation constraints
- Mean field games and applications: numerical aspects
- Optimal management of pumped hydroelectric production with state constrained optimal control
- Forward dynamic utility functions: a new model and new results
- Infinite horizon problems on stratifiable state-constraints sets
- C\(^{1,1}\)-smoothness of constrained solutions in the calculus of variations with application to mean field games
- Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
- Existence and characterization of the values of two player differential games with 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
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Effective nonlinear Neumann boundary conditions for 1D nonconvex Hamilton-Jacobi equations
- Asymptotic solutions of Hamilton-Jacobi equations with state constraints
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- 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
- Flux-limited solutions and state constraints for quasi-convex Hamilton-Jacobi equations in multidimensional domains
- Global results for eikonal Hamilton-Jacobi equations on networks
- Discontinuous solutions of Hamilton-Jacobi equations on networks
- \(L^{\infty }\) estimates on trajectories confined to a closed subset, for control systems with bounded time variation
- The Mayer and minimum time problems with stratified state constraints
- A model of optimal portfolio selection under liquidity risk and price impact
- HJB equations for certain singularly controlled diffusions
- A d-person differential game with state space constraints
- An anti-diffusive scheme for viability problems
- Stochastic Perron's method for optimal control problems with state constraints
- Stability of solutions to Hamilton-Jacobi equations under state constraints
- An approach of deterministic control problems with unbounded data
- Optimistic planning algorithms for state-constrained optimal control problems
- Remarks on the vanishing viscosity process of state-constraint Hamilton-Jacobi equations
- A dynamic programming approach for controlled fractional SIS models
- On the basis of the Hamilton-Jacobi-Bellman equation in economic dynamics
- Relationship between the maximum principle and dynamic programming for minimax problems
- A game representation for a finite horizon state constrained continuous time linear regulator problem
- HAMILTON-JACOBI EQUATIONS WITH PARTIAL GRADIENT AND APPLICATION TO HOMOGENIZATION
- Existence, uniqueness, and asymptotic behavior for nonlocal parabolic problems with dominating gradient terms
- On the first eigenpair of singularly perturbed operators with oscillating coefficients
- The minimum time function for the controlled Moreau's sweeping process
- Optimal switching in finite horizon under state constraints
- State-constrained stochastic optimal control problems via reachability approach
- A short introduction to viscosity solutions and the large time behavior of solutions of Hamilton-Jacobi equations
- Existence and uniqueness for integro-differential equations with dominating drift terms
- On the credit risk of secured loans with maximum loan-to-value covenants
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Deterministic state-constrained optimal control problems without controllability assumptions
- scientific article; zbMATH DE number 2134035 (Why is no real title available?)
- Optimal consumption until ruin for an endowment described by an autonomous ODE for an infinite time horizon
- Infinite Horizon Optimal Control of Non-Convex Problems Under State Constraints
- Jeux différentiels et approximation numérique de fonctions valeur. 1re partie : étude théorique
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