Jacobi type conditions for singular extremals
Andrei Dmitruk (2008)
Control and Cybernetics
Similarity:
Andrei Dmitruk (2008)
Control and Cybernetics
Similarity:
K. Maciej Przyłuski (2014)
International Journal of Applied Mathematics and Computer Science
Similarity:
In a Hilbert space setting, necessary and sufficient conditions for the minimum norm solution u to the equation Su = Rz to be continuously dependent on z are given. These conditions are used to study the continuity of minimum energy and linear-quadratic control problems for infinite dimensional linear systems with fixed endpoints.
Howard Skogman (2001)
Acta Arithmetica
Similarity:
Dariusz Zawisza (2012)
Applicationes Mathematicae
Similarity:
We incorporate model uncertainty into a quadratic portfolio optimization framework. We consider an incomplete continuous time market with a non-tradable stochastic factor. Two stochastic game problems are formulated and solved using Hamilton-Jacobi-Bellman-Isaacs equations. The proof of existence and uniqueness of a solution to the resulting semilinear PDE is also provided. The latter can be used to extend many portfolio optimization results.
P. L. Lions (1985)
Banach Center Publications
Similarity:
Yuanchang Wang, Jiongmin Yong (2014)
ESAIM: Control, Optimisation and Calculus of Variations
Similarity:
A deterministic affine-quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the optimal control is unique which leads to the differentiability of the value function. Therefore, the value function satisfies the corresponding Hamilton–Jacobi–Bellman equation in the classical sense, and the optimal control admits a state feedback representation. Under some...
Jesse Ira Deutsch (2009)
Acta Arithmetica
Similarity:
Nikolai P. Osmolovskii (2012)
ESAIM: Control, Optimisation and Calculus of Variations
Similarity:
Second-order sufficient conditions of a bounded strong minimum are derived for optimal control problems of ordinary differential equations with initial-final state constraints of equality and inequality type and control constraints of inequality type. The conditions are stated in terms of quadratic forms associated with certain tuples of Lagrange multipliers. Under the assumption of linear independence of gradients of active control constraints they guarantee the bounded strong quadratic...
Nikolai P. Osmolovskii (2012)
ESAIM: Control, Optimisation and Calculus of Variations
Similarity:
Second-order sufficient conditions of a bounded strong minimum are derived for optimal control problems of ordinary differential equations with initial-final state constraints of equality and inequality type and control constraints of inequality type. The conditions are stated in terms of quadratic forms associated with certain tuples of Lagrange multipliers. Under the assumption of linear independence of gradients of active control constraints...
S. Trybuła (1987)
Applicationes Mathematicae
Similarity: