3 papers
math.OC2018
Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations
Marianne Akian, Eric Fodjo
We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum…
math.OC2017
From a monotone probabilistic scheme to a probabilistic max-plus algorithm for solving Hamilton-Jacobi-Bellman equations
Marianne Akian, Eric Fodjo
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 asso…
math.OC2016
A probabilistic max-plus numerical method for solving stochastic control problems
Marianne Akian, Eric Fodjo
We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum…