期刊文献+
共找到1篇文章
< 1 >
每页显示 20 50 100
On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks 被引量:1
1
作者 Mario Annunziato Alfio Borzì +1 位作者 fabio nobile Raul Tempone 《Applied Mathematics》 2014年第16期2476-2484,共9页
In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equatio... In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the Fokker-Planck formalism allows considering a larger classof objectives. To illustratethe connection between the two control strategies, the cases of an Itō stochastic process and of a piecewise-deterministic process are considered. 展开更多
关键词 Hamilton-Jacobi-Bellman Equation Fokker-Planck Equation Optimal Control Theory Stochastic Differential Equations Hybrid Systems
下载PDF
上一页 1 下一页 到第
使用帮助 返回顶部