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Hamilton–Jacobi–Bellman equation
Known as:
Bellman
, Hamilton-Jacobi-Bellman equation
, HJB equation
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The Hamilton–Jacobi–Bellman (HJB) equation is a partial differential equation which is central to optimal control theory. The solution of the HJB…
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Related topics
Related topics
15 relations
Backward induction
Bellman equation
Dynamical system
Game theory
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Broader (2)
Dynamic programming
Stochastic control
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Viscosity Solutions of Stochastic Hamilton-Jacobi-Bellman Equations
Jinniao Qiu
SIAM Journal of Control and Optimization
2017
Corpus ID: 119136616
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control…
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2015
2015
A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation
A. Ruszczynski
,
Jianing Yao
SIAM Conf. on Control and its Applications
2015
Corpus ID: 26748988
In this paper, we study the risk-averse control problem for diffusion processes. We make use of a forward–backward system of…
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2012
2012
Hamilton-Jacobi-Bellman Equation and Feedback Synthesis for Impulsive Control
S. L. Fraga
,
F. Pereira
IEEE Transactions on Automatic Control
2012
Corpus ID: 6277669
There is an increasing number of applications whose trajectories are better modeled by discontinuous or impulsive trajectories…
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2010
2010
Improved patchy solution to the Hamilton-Jacobi-Bellman equations
Thomas Hunt
,
A. Krener
IEEE Conference on Decision and Control
2010
Corpus ID: 206542745
We test a new patch type for the patchy approximate solution to the Hamilton-Jacobi-Bellman equations, and we see an improvement…
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2010
2010
Adjoint Methods for Hamilton-Jacobi-Bellman Equations
M. Burger
,
J. Schulte
2010
Corpus ID: 124420034
This thesis was concerned with a novel approach for Hamilton-Jacobi-Bellman equations. These partial differential equations arise…
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2009
2009
Hamilton-Jacobi-Bellman Equation
William R. Esposito
Encyclopedia of Optimization
2009
Corpus ID: 10711385
We begin a study of deterministic continuous-time controllable dynamical systems with a heuristic derivation of the Hamilton…
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2009
2009
On the geometry of the Hamilton-Jacobi-Bellman equation
J. Zambrini
2009
Corpus ID: 19614234
We show how a minimal deformation of the geometry of the classical Hamilton-Jacobi equation provides a probabilistic theory whose…
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Highly Cited
2008
Highly Cited
2008
Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance
Jian Wang
,
P. Forsyth
SIAM Journal on Numerical Analysis
2008
Corpus ID: 972509
In order to ensure convergence to the viscosity solution, the standard method for discretizing Hamilton-Jacobi-Bellman partial…
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Highly Cited
2008
Highly Cited
2008
Homogenization of Hamilton‐Jacobi‐Bellman equations with respect to time‐space shifts in a stationary ergodic medium
Elena Kosygina
,
S. Varadhan
2008
Corpus ID: 45596994
We consider a family {uϵ (t, x, ω)}, ϵ < 0, of solutions to the equation ∂uϵ/∂t + ϵΔuϵ/2 + H (t/ϵ, x/ϵ, ∇uϵ, ω) = 0 with the…
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2007
2007
Viability-Based Computations of Solutions to the Hamilton-Jacobi-Bellman Equation
A. Bayen
,
C. Claudel
,
P. Saint-Pierre
International Conference on Hybrid Systems…
2007
Corpus ID: 9058109
This article proposes a new capture basin algorithm for computing the numerical solution of a class of Hamilton-Jacobi-Bellman…
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