UniSa - IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
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 |
File in questo prodotto:
Copyright © 2020