Risk-sensitive asset management simulation in Matlab.

A range of Hamilton–Jacobi–Bellman (HJB) solvers. Solve optimisation problems with dynamic programming.

A parallel solver for first-order static Hamilton-Jacobi PDEs

Continuous-Time/State/Action Fitted Value Iteration via Hamilton-Jacobi-Bellman (HJB)

🚀✈️🎯 Fork of HJReachability's helperOC library for the MATLAB development part of my Master's Thesis on Hamilton Jacobi Reachability in collaboration with Georgia Tech's School of Aerospace Engineering.

En este repositorio pueden encontrarse los códigos utilizados para realizar el trabajo de tesis de maestría.

Repository for the code of the "Dynamic Programming and Optimal Control" (DPOC) lecture at the "Institute for Dynamic Systems and Control" at ETH Zurich.

PyDiffGame is a Python implementation of a Nash Equilibrium solution to Differential Games, based on a reduction of Game Hamilton-Bellman-Jacobi (GHJB) equations to Game Algebraic and Differential Riccati equations, associated with Multi-Objective Dynamical Control Systems

A GPU-accelerated toolbox for hyperbolic PDEs in a weaker (viscosity) sense. It leverages the integral to the solution of the conservation of momentum problem (being equivalent to the derivative of Hamilton-Jacobi equations) in one spatial dimension. We resolve such hyperbolic differential equations using wave-front propagating schemes on a spat…

Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving the following PDEs

Masters dissertation numerically solving Hamilton-Jacobi-Bellman (HJB) equation in an extension of Merton's portfolio allocation problem using finite difference.