无限视界中包含连续和脉冲控制的确定性微分对策

IF 1.5 4区 工程技术 Q3 AUTOMATION & CONTROL SYSTEMS Journal of Control and Decision Pub Date : 2023-09-24 DOI:10.1080/23307706.2023.2255594
Brahim El Asri, Hafid Lalioui
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引用次数: 2

摘要

摘要研究了一类新的二人零和确定性微分对策,其中每个参与者在无限视界上同时使用连续和脉冲控制。我们假设脉冲的形式和代价分别取决于非线性函数和系统的状态。我们使用Bellman的动态规划原理(DPP)和粘性解方法来证明,对于这类对策,相关的Hamilton-Jacobi-Bellman-Isaacs (HJBI)偏微分方程(PDEs)解的存在性和唯一性。然后,在Isaacs条件下,我们推导出上下值函数重合,并给出了该对策的计算过程和数值检验。关键词:确定性微分对策,无限水平连续控制,脉冲控制,动态规划原理,密度解,艾萨克条件,分类:49K3549L2549N7090C3993C20致谢感谢审稿人的认真阅读,以及他们的有益意见和建议,使本文有了很大的改进。披露声明作者未报告潜在的利益冲突。本文第二作者的研究得到了摩洛哥国家科学技术研究中心CNRST的资助[资助号17 UIZ 19]。作者简介brahim El Asri,摩洛哥Agadir Ibn Zohr大学国家应用科学学院应用数学正教授。他的研究工作包括确定性和随机情况下的最优控制和微分对策,切换问题和倒向随机微分方程。Hafid Lalioui,分别于2016年和2018年在摩洛哥阿加迪尔的Ibn Zohr大学获得数学和应用学士学位和金融工程硕士学位。他是伊本·佐尔大学国家应用科学学院应用数学博士研究员。他的研究课题涉及确定性微分博弈,包括无限和有限时间范围内的冲动控制。他还对随机控制和强化学习在数学金融中具有挑战性的主题中的应用感兴趣。
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Deterministic differential games in infinite horizon involving continuous and impulse controls
We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the state of the system. We use the dynamic programming principle and viscosity solutions approach to show existence and uniqueness of a solution for the Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equations (PDEs) of the game. We prove under Isaacs condition that the upper and lower value functions coincide.
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来源期刊
Journal of Control and Decision
Journal of Control and Decision Mathematics-Control and Optimization
CiteScore
2.80
自引率
17.60%
发文量
76
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