Algorithms for the resolution of stochastic control problems in high dimension by using probabilistic and max-plus methods

Autor: Fodjo, Eric

Les problèmes de contrôle stochastique optimal à horizon fini forment une classe de problèmes de contrôle optimal où interviennent des processus stochastiques considérés sur un intervalle de temps borné. Tout comme beaucoup de problème de c

Externí odkaz: http://www.theses.fr/2018SACLX034/document

From a monotone probabilistic scheme to a probabilistic max-plus algorithm for solving Hamilton-Jacobi-Bellman equations

Autor: Akian, Marianne, Fodjo, Eric

In a previous work (Akian, Fodjo, 2016), we introduced a lower complexity probabilistic max-plus numerical method for solving fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or

Externí odkaz: http://arxiv.org/abs/1709.09049

From a monotone probabilistic scheme to a probabilistic max-plus algorithm for solving Hamilton-Jacobi-Bellman equations

Autor: Akian, Marianne, Fodjo, Eric

Publikováno v: Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in Optimal Control
Dante Kalise; Karl Kunisch; Zhiping Rao. Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in Optimal Control, 21, De Gruyter, 2018, Radon Ser. Comput. Appl. Math

International audience; In a previous work, we introduced a lower complexity probabilistic max-plus numerical method for solving fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::07bb8c7b734f4ee14aed23deac005af3
https://inria.hal.science/hal-01675067

Solving Hamilton-Jacobi-Bellman equations by combining a max-plus linear approximation and a probabilistic numerical method

Autor: Akian, Marianne, Fodjo, Eric

Publikováno v: 22nd International Symposium on Mathematical Theory of Networks and Systems (MTNS)
22nd International Symposium on Mathematical Theory of Networks and Systems (MTNS), Jul 2016, Minneapolis, United States

International audience

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9c8c1d933229cf38a20becf59eedc52d
https://hal.inria.fr/hal-01425473