On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
From MaRDI portal
Publication:1068354
DOI10.1007/BF01448394zbMath0582.49019OpenAlexW2145496640MaRDI QIDQ1068354
Publication date: 1983
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01448394
Hamilton-Jacobi-Bellman equationviscosity solutionapproximate solutionsminimizing sequenceinfinite-horizon optimal control problem with discount
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Hamilton-Jacobi theories (49L99) Numerical methods in optimal control (49M99)
Related Items (61)
A convergent hierarchy of non-linear eigenproblems to compute the joint spectral radius of nonnegative matrices ⋮ On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations ⋮ Unnamed Item ⋮ Numerical schemes for investment models with singular transactions ⋮ Error Estimates for a Tree Structure Algorithm Solving Finite Horizon Control Problems ⋮ Deterministic impulse control problems: two discrete approximations of the quasi-variational inequality ⋮ Using nonlinear model predictive control for dynamic decision problems in economics ⋮ The solution of evolutionary games using the theory of Hamilton-Jacobi equations ⋮ A differential game of unlimited duration ⋮ Discrete dynamic programming and viscosity solutions of the Bellman equation ⋮ Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation ⋮ On numerical approximations of fractional and nonlocal mean field games ⋮ Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ On the time discretization of stochastic optimal control problems: The dynamic programming approach ⋮ HJB-RBF based approach for the control of PDEs ⋮ Degenerate First-Order Quasi-variational Inequalities: An Approach to Approximate the Value Function ⋮ Error estimates for a finite difference scheme associated with Hamilton-Jacobi equations on a junction ⋮ A Discrete Weak KAM Method for First-Order Stationary Mean Field Games ⋮ Approximation of solutions of Hamilton-Jacobi equations on the Heisenberg group ⋮ Hamilton–Jacobi–Bellman Equations ⋮ Numerical results for a product formula approximation of Hamilton-Jacobi equations ⋮ Numerical methods for construction of value functions in optimal control problems on an infinite horizon ⋮ Construction of optimal feedback controls ⋮ Approximation and regular perturbation of optimal control problems via Hamilton-Jacobi theory ⋮ On the Convergence of an Approximation Scheme for the Viscosity Solutions of the Bellman Equation Arising in a Stochastic Optimal Control Problem ⋮ Gradients of local linear hulls in finite-difference operators for the Hamilton-Jacobi equations ⋮ Construction of nonlinear stabilizer for trajectories of economic growth ⋮ Impact of technology assimilation on investment policy: Dynamic optimization and econometric identification ⋮ Using dynamic programming with adaptive grid scheme for optimal control problems in economics ⋮ A comparison theorem for a piecewise Lipschitz continuous Hamiltonian and application to Shape-from-Shading problems ⋮ Optimal dynamics of innovation in models of economic growth ⋮ A convergent scheme for Hamilton-Jacobi equations on a junction: application to traffic ⋮ A numerical method for hybrid optimal control based on dynamic programming ⋮ Nonlinear impulse target problems under state constraint: a numerical analysis based on viability theory ⋮ ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS ⋮ Approximation of optimal feedback control: a dynamic programming approach ⋮ Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations ⋮ An efficient algorithm for Hamilton-Jacobi equations in high dimension ⋮ Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary ⋮ Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost ⋮ Fully discrete schemes for monotone optimal control problems ⋮ An approximation scheme for the optimal control of diffusion processes ⋮ A tree structure algorithm for optimal control problems with state constraints ⋮ Discrete time schemes for optimal control problems with monotone controls ⋮ Approximate solutions to the time-invariant Hamilton-Jacobi-Bellman equation ⋮ A numerical approach to the infinite horizon problem of deterministic control theory ⋮ Comments on ``A numerical approach to the infinite horizon problem of deterministic control theory ⋮ Optimal harvesting for a nonlinear age-dependent population dynamics ⋮ NUMERICAL METHODS FOR DIFFERENTIAL GAMES BASED ON PARTIAL DIFFERENTIAL EQUATIONS ⋮ LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case ⋮ Relaxation methods in control theory ⋮ Estimate for the accuracy of a backward procedure for the Hamilton-Jacobi equation in an infinite-horizon optimal control problem ⋮ Viscous solutions of the Hamilton-Jacobi-Bellman equation on time scales ⋮ Representation of solutions of Hamilton-Jacobi equations ⋮ Semi-Lagrangian schemes for linear and fully non-linear diffusion equations ⋮ Nonlinear optimal control as quantum mechanical eigenvalue problems ⋮ Dynamic programming and error estimates for stochastic control problems with maximum cost ⋮ Approximate solutions of the Bellman equation of deterministic control theory ⋮ Optimal trajectories of the innovation process and their matching with econometric data ⋮ Semigroup approach for the approximation of a control problem with unbounded dynamics ⋮ Dynamic programming using radial basis functions
Cites Work
- Unnamed Item
- Unnamed Item
- On a system of first-order quasi-variational inequalities connected with the optimal switching problem
- On solving certain nonlinear partial differential equations by accretive operator methods
- Stochastic optimal control. The discrete time case
- Le problème de temps d'arret optimal déterministe et l'inéquation variationnelle du premier ordre associee
- Optimal Switching for Ordinary Differential Equations
- On the dynamic programming inequalities associated with the deterministic optimal stopping problem in discrete and continuous time
This page was built for publication: On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
