Hamilton-Jacobi-Bellman equation

Hamilton-Jacobi-Bellman equation

The Hamilton-Jacobi-Bellman (HJB) equation is a partial differential equation which is central to optimal control theory.

The solution of the HJB equation is the 'value function', which gives the optimal cost-to-go for a given dynamical system with an associated cost function. Classical variational problems, for example, the brachistochrone problem can be solved using this method as well.

The equation is a result of the theory of dynamic programming which was pioneered in the 1950s by Richard Bellman and coworkers. [R. E. Bellman. Dynamic Programming. Princeton, NJ, 1957.] The corresponding discrete-time equation is usually referred to as the Bellman equation. In continuous time, the result can be seen as an extension of earlier work in classical physics on the Hamilton-Jacobi equation by William Rowan Hamilton and Carl Gustav Jacob Jacobi.

Consider the following problem in deterministic optimal control

: min int_0^T C [x(t),u(t)] ,dt + D [x(T)]

subject to

: dot{x}(t)=F [x(t),u(t)]

where x(t) is the system state, x(0) is assumed given, and u(t) for 0leq tleq T is the control that we are trying to find.For this simple system, the Hamilton Jacobi Bellman partial differential equation is

:frac{partial}{partial t} V(x,t) + min_u left{ leftlangle frac{partial}{partial x}V(x,t), F(x, u) ight angle + C(x,u) ight} = 0

subject to the terminal condition

:V(x,T) = D(x).,

The unknown V(t, x) in the above PDE is the Bellman 'value function', which represents the cost incurred from starting in state x at time t and controlling the system optimally from then until time T.The HJB equation needs to be solved backwards in time, starting from t = T and ending at t = 0. (The notation langle a,b angle means the inner product of the vectors a and b).

The HJB equation is a sufficient condition for an optimum.Fact|date=May 2008 If we can solve for V then we can find from it a control u that achieves the minimum cost.

The HJB method can be generalized to stochastic systems as well.

In general case, the HJB equation does not have a classical (smooth) solution. Several notions of generalized solutions have been developed to cover such situations, including viscosity solution (Pierre-Louis Lions and Michael Crandall), minimax solution (Andrei Izmailovich Subbotin), and others.


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