An ENO-based method for second-order equations and application to the control of dike levels (Q421325): Difference between revisions
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Property / author: Q421324 / rank | |||
Property / author | |||
Property / author: Cornelis W. Oosterlee / rank | |||
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The present work uses a model in which the stochastic behaviour of economic growth is modelled in continuous time. The resulting optimization problem leads to a so-called Hamilton-Jacobi-Bellman (HJB) equation. It is a system of second-order partial differential equations that needs to be solved backwards in time. This is achieved by numerical approximation. Formulating an optimal control problem requires an expression for the total future expected discounted costs and input variables which govern optimal values. The authors consider an impulsive control formulation, where it is assumed that the input variable increases instantaneously (both the optimal input variable and the intervention times are typically not known in such optimal stopping problems and need to be determined). The numerical treatment of impulse control model equations falls into two parts: the uncontrolled problem, (i.e., between intervention times \(t_K\) and \(t_{K+1}\)) and the impulse control. The uncontrolled part of the problem (typically of convection-reaction type) has the following general form: \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = \nabla . K (u,t) \nabla u + s(u,t), \tag{1} \] complemented with appropriate boundary and initial conditions. Here the convection part \(\nabla.f\) relates to the deterministic part of the system dynamics, while the diffusion part relates to the stochastic behaviour. The source term, \(s\) in (1), accounts for the running costs and discounting (is brought into conservative form whereas the original operator in a control problem is not). The HJB equations are solved numerically with an essentially non-oscillatory (ENO) method, which combines high-order accuracy with convergence to the relevant (viscosity, or entropy) solution. The model equations are of purely convective type when the system dynamics are fully deterministic (\(K(u,t) = 0\) in (1)) and fully diffusive when the drift in a stochastic state system vanishes, i.e., \(f(u)=0\). Convection (a fully deterministic problem without the source terms), here the model equation (1), reduces to \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = 0, \tag{2} \] which is a hyperbolic conservation law. Main result: The ENO method, as originally intended for convection-type problems (with the purpose of extending it to the discretization of the diffusion operator), is presented. By integrating (2) over a control volume a discretization (inherently conservative) can be obtained. There is no central difference scheme \(L\) of order of accuracy higher than two for which the numerical method \(E\) (a forward-Euler-type numerical method, \(u_j^{n+1}=E(u^n,j)\)), is monotone. | |||
Property / review text: The present work uses a model in which the stochastic behaviour of economic growth is modelled in continuous time. The resulting optimization problem leads to a so-called Hamilton-Jacobi-Bellman (HJB) equation. It is a system of second-order partial differential equations that needs to be solved backwards in time. This is achieved by numerical approximation. Formulating an optimal control problem requires an expression for the total future expected discounted costs and input variables which govern optimal values. The authors consider an impulsive control formulation, where it is assumed that the input variable increases instantaneously (both the optimal input variable and the intervention times are typically not known in such optimal stopping problems and need to be determined). The numerical treatment of impulse control model equations falls into two parts: the uncontrolled problem, (i.e., between intervention times \(t_K\) and \(t_{K+1}\)) and the impulse control. The uncontrolled part of the problem (typically of convection-reaction type) has the following general form: \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = \nabla . K (u,t) \nabla u + s(u,t), \tag{1} \] complemented with appropriate boundary and initial conditions. Here the convection part \(\nabla.f\) relates to the deterministic part of the system dynamics, while the diffusion part relates to the stochastic behaviour. The source term, \(s\) in (1), accounts for the running costs and discounting (is brought into conservative form whereas the original operator in a control problem is not). The HJB equations are solved numerically with an essentially non-oscillatory (ENO) method, which combines high-order accuracy with convergence to the relevant (viscosity, or entropy) solution. The model equations are of purely convective type when the system dynamics are fully deterministic (\(K(u,t) = 0\) in (1)) and fully diffusive when the drift in a stochastic state system vanishes, i.e., \(f(u)=0\). Convection (a fully deterministic problem without the source terms), here the model equation (1), reduces to \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = 0, \tag{2} \] which is a hyperbolic conservation law. Main result: The ENO method, as originally intended for convection-type problems (with the purpose of extending it to the discretization of the diffusion operator), is presented. By integrating (2) over a control volume a discretization (inherently conservative) can be obtained. There is no central difference scheme \(L\) of order of accuracy higher than two for which the numerical method \(E\) (a forward-Euler-type numerical method, \(u_j^{n+1}=E(u^n,j)\)), is monotone. / rank | |||
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Property / reviewed by: Jan Lovíšek / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65K10 / rank | |||
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Property / Mathematics Subject Classification ID: 35K20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49L25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35F21 / rank | |||
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Property / Mathematics Subject Classification ID: 91B62 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49J20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49M25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35L65 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6038133 / rank | |||
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Property / zbMATH Keywords | |||
Hamilton-Jacobi-Bellman equations | |||
Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equations / rank | |||
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Property / zbMATH Keywords | |||
ENO scheme for diffusion | |||
Property / zbMATH Keywords: ENO scheme for diffusion / rank | |||
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impulsive control | |||
Property / zbMATH Keywords: impulsive control / rank | |||
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Property / zbMATH Keywords | |||
dike increase against flooding | |||
Property / zbMATH Keywords: dike increase against flooding / rank | |||
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Property / zbMATH Keywords | |||
fourth-order spatial discretization | |||
Property / zbMATH Keywords: fourth-order spatial discretization / rank | |||
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discrete optimization | |||
Property / zbMATH Keywords: discrete optimization / rank | |||
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continuous optimization | |||
Property / zbMATH Keywords: continuous optimization / rank | |||
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viscosity solution | |||
Property / zbMATH Keywords: viscosity solution / rank | |||
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economic growth | |||
Property / zbMATH Keywords: economic growth / rank | |||
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optimal control | |||
Property / zbMATH Keywords: optimal control / rank | |||
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essentially non-oscillatory method | |||
Property / zbMATH Keywords: essentially non-oscillatory method / rank | |||
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convergence | |||
Property / zbMATH Keywords: convergence / rank | |||
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hyperbolic conversation law | |||
Property / zbMATH Keywords: hyperbolic conversation law / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10915-011-9493-3 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2102713195 / rank | |||
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Property / cites work | |||
Property / cites work: Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations / rank | |||
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Property / cites work: Q4356582 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 07:08, 5 July 2024
scientific article
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English | An ENO-based method for second-order equations and application to the control of dike levels |
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An ENO-based method for second-order equations and application to the control of dike levels (English)
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23 May 2012
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The present work uses a model in which the stochastic behaviour of economic growth is modelled in continuous time. The resulting optimization problem leads to a so-called Hamilton-Jacobi-Bellman (HJB) equation. It is a system of second-order partial differential equations that needs to be solved backwards in time. This is achieved by numerical approximation. Formulating an optimal control problem requires an expression for the total future expected discounted costs and input variables which govern optimal values. The authors consider an impulsive control formulation, where it is assumed that the input variable increases instantaneously (both the optimal input variable and the intervention times are typically not known in such optimal stopping problems and need to be determined). The numerical treatment of impulse control model equations falls into two parts: the uncontrolled problem, (i.e., between intervention times \(t_K\) and \(t_{K+1}\)) and the impulse control. The uncontrolled part of the problem (typically of convection-reaction type) has the following general form: \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = \nabla . K (u,t) \nabla u + s(u,t), \tag{1} \] complemented with appropriate boundary and initial conditions. Here the convection part \(\nabla.f\) relates to the deterministic part of the system dynamics, while the diffusion part relates to the stochastic behaviour. The source term, \(s\) in (1), accounts for the running costs and discounting (is brought into conservative form whereas the original operator in a control problem is not). The HJB equations are solved numerically with an essentially non-oscillatory (ENO) method, which combines high-order accuracy with convergence to the relevant (viscosity, or entropy) solution. The model equations are of purely convective type when the system dynamics are fully deterministic (\(K(u,t) = 0\) in (1)) and fully diffusive when the drift in a stochastic state system vanishes, i.e., \(f(u)=0\). Convection (a fully deterministic problem without the source terms), here the model equation (1), reduces to \[ \frac{\partial u}{\partial t}+ \nabla . f(u) = 0, \tag{2} \] which is a hyperbolic conservation law. Main result: The ENO method, as originally intended for convection-type problems (with the purpose of extending it to the discretization of the diffusion operator), is presented. By integrating (2) over a control volume a discretization (inherently conservative) can be obtained. There is no central difference scheme \(L\) of order of accuracy higher than two for which the numerical method \(E\) (a forward-Euler-type numerical method, \(u_j^{n+1}=E(u^n,j)\)), is monotone.
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Hamilton-Jacobi-Bellman equations
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ENO scheme for diffusion
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impulsive control
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dike increase against flooding
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fourth-order spatial discretization
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discrete optimization
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continuous optimization
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viscosity solution
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economic growth
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optimal control
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essentially non-oscillatory method
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convergence
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hyperbolic conversation law
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