On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the Fokker-Planck formalism allows considering a larger class of objectives. To illustrate the connection between the two control strategies, the cases of an Itō stochastic process and of a piecewise-deterministic process are considered.


Published in:
Applied Mathematics, 5, 2476-2484
Year:
2014
Keywords:
Laboratories:




 Record created 2014-09-07, last modified 2018-01-28


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