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The optimal control of uncertain fuzzy systems with constraints is still an open problem. One candidate to deal with this problem is robust receding horizon control (RRHC) schemes, which can be formulated as a differential game. Our focus concerns numerically solving Hamilton–Jacobi–Issac (HJI) equations derived from RRHC schemes for uncertain fuzzy(More)
A numerical framework for continuous-time consumption-portfolio problems is set up by Markov chain approximation with the logarithmic transformation (We call it MCALT 1 algorithm). We show that the complexity of the algorithm is a polynomial. An example with and with prohibition of short-sale on risky securities is provided to demonstrate the proposed(More)
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