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EnglishIn the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the Fokker-Planck formalism allows considering a larger classof objectives. To illustrate the connection between the two control strategies, the cases of an Itō stochastic process and of a piecewise-deterministic process are considered.
| Titolo: | On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks | |
| Autori: | ||
| Data di pubblicazione: | 2014 | |
| Rivista: | ||
| Abstract: | In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the Fokker-Planck formalism allows considering a larger classof objectives. To illustrate the connection between the two control strategies, the cases of an Itō stochastic process and of a piecewise-deterministic process are considered. | |
| Handle: | http://hdl.handle.net/11386/4479657 | |
| Appare nelle tipologie: | 1.1.1 Articolo su rivista con DOI |
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