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math.OC2021
Control in Hilbert Space and First Order Mean Field Type Problem
Alain Bensoussan, Henry Hang Cheung, Sheung Chi Phillip Yam
We extend the work \cite{bensoussan2019control} by two of the coauthors, which dealt with a deterministic control problem for which the Hilbert space could be generic and investiga…
math.OC2021
Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm
Alain Bensoussan, Jiayue Han, Sheung Chi Phillip Yam +1
Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain th…