HJB방정식과 최대원리 : HJB equation and the Maximum Principle
- 주제(KDC) 320.000
- 발행기관 서강대학교 경제연구소
- 발행년도 2003
- 총서유형 Journal
- 본문언어 한국어
초록/요약
Evolving relationships between the main results of dynamic programming and optimal control are surveyed Their common predecessor is the classical calculus of variations and their major results, ie, HJB equation and the maximum principle are essentially two different ways of expressing the Euler-Lagrange condition of the calculus of variations This fact is accounted by the method of charateristics that converts the PDE of HJB equation into the system of ODEs of the maximum principe. The relationship between these two methods of dynamic optimization weakens as nonsmoothness in value function is permitted and the equalities that prevailed with smoothness becomes those of inclusions
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