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In this letter, we study the numerical solutions of a class of elliptic type of Hamilton-Jacobi-Bellman (HJB) equations, which arise from stochastic control and multiplayer stochastic game problems with random… Click to show full abstract
In this letter, we study the numerical solutions of a class of elliptic type of Hamilton-Jacobi-Bellman (HJB) equations, which arise from stochastic control and multiplayer stochastic game problems with random terminal time. Two closely related algorithms are proposed. One of them is to use value iteration on approximating Markov decision processes, and the other is to use a deep-learning approach solving Bellman equations. The convergence is shown by using a viscosity solution approach.
Keywords:
bellman equations;
jacobi bellman;
hamilton jacobi
Journal Title: IEEE Control Systems Letters
Year Published: 2021
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Journal Title: IEEE Control Systems Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!