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检索条件"主题词=DYNAMIC PROGRAMMING PRINCIPLE"
226 条 记 录,以下是11-20 订阅
排序:
Generalized dynamic programming principle and sparse mean-field control problems
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JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 2020年 第1期481卷 123437-123437页
作者: Cavagnari, Giulia Marigonda, Antonio Piccoli, Benedetto Univ Pavia Dept Math F Casorati Via Ferrate 5 I-27100 Pavia Italy Univ Verona Dept Comp Sci Str Le Grazie 15 I-37134 Verona Italy Rutgers Univ Camden Dept Math Sci 311 N 5th St Camden NJ 08102 USA
In this paper we study optimal control problems in Wasserstein spaces, which are suitable to describe macroscopic dynamics of multi-particle systems. The dynamics is described by a parametrized continuity equation, in... 详细信息
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On dynamic programming principle for Stochastic Control Under Expectation Constraints
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JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 2020年 第3期185卷 803-818页
作者: Chow, Yuk-Loong Yu, Xiang Zhou, Chao Sun Yat Sen Univ Sch Math Guangzhou Peoples R China Hong Kong Polytech Univ Dept Appl Math Hung Hom Kowloon Hong Kong Peoples R China Natl Univ Singapore Dept Math Singapore Singapore
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraint... 详细信息
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Feedback control of parametrized PDEs via model order reduction and dynamic programming principle
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ADVANCES IN COMPUTATIONAL MATHEMATICS 2020年 第1期46卷 1-28页
作者: Alla, Alessandro Haasdonk, Bernard Schmidt, Andreas Pontificia Univ Catolica Rio de Janeiro Dept Math Rua Marques de Sao Vicente 225 BR-22453900 Rio de Janeiro Brazil Univ Stuttgart Inst Appl Anal & Numer Simulat Pfaffenwaldring 57 D-70569 Stuttgart Germany
In this paper, we investigate infinite horizon optimal control problems for parametrized partial differential equations. We are interested in feedback control via dynamic programming equations which is well-known to s... 详细信息
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dynamic programming principle AND ASSOCIATED HAMILTON-JACOBI-BELLMAN EQUATION FOR STOCHASTIC RECURSIVE CONTROL PROBLEM WITH NON-LIPSCHITZ AGGREGATOR
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2018年 第1期24卷 355-376页
作者: Pu, Jiangyan Zhang, Qi Shanghai Lixin Univ Accounting & Finance Sch Finance Shanghai 201209 Peoples R China Fudan Univ Sch Math Sci Shanghai 200433 Peoples R China
In this work we study the stochastic recursive control problem, in which the aggregator (or generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lip... 详细信息
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Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems*
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2020年 第1期26卷 81-81页
作者: Hu, Mingshang Ji, Shaolin Xue, Xiaole Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Sch Management Jinan 250100 Peoples R China
Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) from M. Hu, S. Ji and X. Xue [SIAM J. Control Optim. 56 (2018) 4309-4335] and the dynamic programming principle ... 详细信息
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dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2017年 第1期127卷 107-134页
作者: Hu, Mingshang ji, Shaolin Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Inst Math Jinan 250100 Peoples R China
In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standa... 详细信息
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RANDOMIZED dynamic programming principle AND FEYNMAN-KAC REPRESENTATION FOR OPTIMAL CONTROL OF MCKEAN-VLASOV dynamicS
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TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY 2018年 第3期370卷 2115-2160页
作者: Bayraktar, Erhan Cosso, Andrea Pham, Huyen Univ Michigan Dept Math 530 Church St Ann Arbor MI 48109 USA Politecn Milan Dipartimento Matemat Via Bonardi 9 I-20133 Milan Italy Univ Bologna Dipartimento Matemat Piazza Porta S Donato 5 I-40126 Bologna Italy Univ Paris Diderot Lab Probabilites & Modeles Aleatoires CNRS UMR 7599 F-75205 Paris 13 France Univ Paris Diderot Lab Probabilites & Modeles Aleatoires CNRS UMR 7599 Crest France
We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We prove that its value function V admits a nonlinear FeynmanK... 详细信息
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dynamic programming principle of control systems on manifolds and its relations to maximum principle
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JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 2016年 第1期434卷 915-938页
作者: Deng, Li Southwest Jiaotong Univ Sch Math Chengdu 610031 Peoples R China
We study the dynamic programming principle (DPP for short) on manifolds, obtain the Hamilton-Jacobi-Bellman (HJB for short) equation, and prove that the value function is the only viscosity solution to the HJB equatio... 详细信息
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dynamic programming principles for Mean-Field Controls with Learning
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OPERATIONS RESEARCH 2023年 第4期71卷 1040-1054页
作者: Gu, Haotian Guo, Xin Wei, Xiaoli Xu, Renyuan Univ Calif Berkeley Dept Math Berkeley CA 94720 USA Univ Calif Berkeley Dept Ind Engn & Operat Res Berkeley CA 94720 USA Tsinghua Berkeley Shenzhen Inst Shenzhen 518055 Peoples R China Univ Southern Calif Ind & Syst Engn Los Angeles CA 90001 USA
The dynamic programming principle (DPP) is fundamental for control and optimization, including Markov decision problems (MDPs), reinforcement learning (RL), and, more recently, mean-field controls (MFCs). However, in ... 详细信息
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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
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OPTIMAL CONTROL APPLICATIONS & METHODS 2014年 第1期35卷 61-76页
作者: Shi, Jingtao Shandong Univ Sch Math Jinan 250100 Peoples R China
This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions. Under the assumption that the value funct... 详细信息
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