A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems

DOI10.1002/OCA.2393MaRDI QIDQ3176481zbMATH OpenOpenAlexFDO

Authors M. D. S. Aliyu

Publication date 20 July 2018

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2393

zbMATH Keywords

secant methodHamilton-Jacobi-Bellman equationstochastic optimal controlquadratic convergenceaffine nonlinear systembounded continuous function

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Recommendations

• An improved iterative computational approach to the solution of the Hamilton-Jacobi equation in optimal control problems of affine nonlinear systems with application
• Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
• Convergence of an iterative algorithm for solving Hamilton-Jacobi type equations
• A transformation approach for solving the Hamilton-Jacobi-Bellman equation in \({\mathcal H}_2\) deterministic and stochastic optimal control of affine nonlinear systems.
• Stochastic Hamilton–Jacobi–Bellman Equations

Cited in

(4)

• A transformation approach for solving the Hamilton-Jacobi-Bellman equation in \({\mathcal H}_2\) deterministic and stochastic optimal control of affine nonlinear systems.
• An improved iterative computational approach to the solution of the Hamilton-Jacobi equation in optimal control problems of affine nonlinear systems with application
• Iterative computational approach to the solution of the Hamilton-Jacobi-Bellman-lsaacs equation in nonlinear optimal control
• Convergence of an iterative algorithm for solving Hamilton-Jacobi type equations

This page was built for publication: A local iterative approach for solving the stochastic Hamilton-Jacobi-Bellman equation (SHJBE) arising in the stochastic control of affine nonlinear systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3176481)