Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
Publication:706233
DOI10.1007/s00211-004-0555-4zbMath1074.65009MaRDI QIDQ706233
Publication date: 8 February 2005
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00211-004-0555-4
numerical examples; stochastic optimal control; a posteriori error estimates; feedback optimal control; stochastic Hamilton-Jacobi-Bellman equation
65K10: Numerical optimization and variational techniques
49L20: Dynamic programming in optimal control and differential games
65N15: Error bounds for boundary value problems involving PDEs
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
49M25: Discrete approximations in optimal control
49J55: Existence of optimal solutions to problems involving randomness
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A numerical approach to the infinite horizon problem of deterministic control theory
- Using dynamic programming with adaptive grid scheme for optimal control problems in economics
- Splines and efficiency in dynamic programming
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- Asymptotic behavior of dynamical and control systems under perturbation and discretization
- Variable resolution discretization in optimal control
- Creditworthiness and thresholds in a credit market model with multiple equilibria
- An efficient algorithm for Hamilton-Jacobi equations in high dimension
- An a posteriori error estimator for anisotropic refinement
- Solving higher-dimensional continuous-time stochastic control problems by value function regression
- A Zubov's method for stochastic differential equations
- Characterizing attraction probabilities via the stochastic Zubov equation
- Numerical Approximation of the Maximal Solutions for a Class of Degenerate Hamilton-Jacobi Equations
- Viscosity Solutions of Hamilton-Jacobi Equations
- SPLINE APPROXIMATIONS TO VALUE FUNCTIONS
- Using Randomization to Break the Curse of Dimensionality
- Convergence of Semi-Lagrangian Approximations to Convex Hamilton--Jacobi Equations under (Very) Large Courant Numbers
- Homogeneous State Feedback Stabilization of Homogenous Systems
- Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- An approximation scheme for the optimal control of diffusion processes
- Some Estimates for Finite Difference Approximations
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- The dynamics of control. With an appendix by Lars Grüne
- On numerical algorithm and interactive visualization for optimal control problems