Economics, Econometrics and Finance
3 years ago

New research unlocks unlimited potential for optimal control problems in real-world applications.

Birkhäuser Boston eBooks
Optimal control problems with continuous value functions: unrestricted state space
Martino Bardi, Italo Capuzzo-Dolcetta

Paper Summary

Related papers

Economics, Econometrics and Finance
2 years ago

New method finds optimal control for decision-making processes with delay!

Climate Policies
1 view
Decision Sciences
4 years ago

New research reveals breakthrough in solving complex stochastic control problems!

Robust Optimization
Option Pricing
Bayesian Monte Carlo
1 view
Theme background image
Computer Science
8 years ago

Bellman's Equation Revolutionizes Optimal Control Theory with Discontinuous Value Functions

Iterative Algorithms
Adaptive Programming
Optimization Techniques

The article discusses optimal control problems with continuous value functions in unrestricted state spaces. The researchers establish the Dynamic Programming Principle and derive the Hamilton-Jacobi-Bellman equation for the value function. By applying this theory, they prove that the value function can be uniquely characterized as the viscosity solution of the corresponding equation.