Abstract

The time scales calculus, which includes the study of the alpha derivative, is an emerging key area in mathematics. We extend this calculus to Approximate Dynamic Programming. in particular, we investigate application of the alpha derivative, one of the fundamental dynamic derivatives of time scales. We present an alpha-derivative based derivation and proof of the Hamilton-Jacobi-Bellman equation, the solution of which is the fundamental problem in the Held of dynamic programming. by drawing together the calculus of time scales and the applied area of stochastic control via Approximate Dynamic Programming, we connect two major fields of research. © 2009 IEEE.

Department(s)

Electrical and Computer Engineering

International Standard Book Number (ISBN)

978-142443553-1

Document Type

Article - Conference proceedings

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2024 Institute of Electrical and Electronics Engineers, All rights reserved.

Publication Date

18 Nov 2009

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