Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data

DOI10.1007/S00211-009-0271-1zbMath1187.65098OpenAlexW2146237228MaRDI QIDQ2270141

Nadia Megdich, Olivier Bokanowski, Hasnaa Zidani

Publication date: 15 March 2010

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-009-0271-1

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnumerical examplesdiscontinuous dataeikonal equationnon-monotone scheme

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs with low regular coefficients and/or low regular data (35R05) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Hamilton-Jacobi equations (35F21)

Related Items (10)

An Efficient Filtered Scheme for Some First Order Time-Dependent Hamilton--Jacobi Equations ⋮ Anti-dissipative schemes for advection and application to Hamilton-Jacobi-bellmann equations ⋮ An efficient data structure and accurate scheme to solve front propagation problems ⋮ Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems ⋮ $L^1$-error estimates for numerical approximations of Hamilton-Jacobi-Bellman equations in dimension 1 ⋮ Time periodic optimal policy for operation of a water storage tank using the dynamic programming approach ⋮ Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems ⋮ Some non monotone schemes for Hamilton-Jacobi-Bellman equations ⋮ Optimal feedback control for undamped wave equations by solving a HJB equation ⋮ Value iteration convergence of \(\varepsilon\)-monotone schemes for stationary Hamilton-Jacobi equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Corrigenda: A numerical approach to the infinite horizon problem of deterministic control theory
• Anti-dissipative schemes for advection and application to Hamilton-Jacobi-bellmann equations
• Approximation of the viability kernel
• Viscosity solutions of Hamilton-Jacobi equations
• Convergence of MUSCL and filtered schemes for scalar conservation laws and Hamilton-Jacobi equations
• Semi-Lagrangian schemes for Hamilton-Jacobi equations, discrete representation formulae and Godunov methods
• A non-dissipative entropic scheme for convex scalar equations via discontinuous cell-re\-con\-struction
• An anti-diffusive scheme for viability problems
• A priori error estimates for numerical methods for scalar conservation laws. Part II : flux-splitting monotone schemes on irregular Cartesian grids
• Two approximations of solutions of Hamilton-Jacobi equations
• $L^1$-error estimates for numerical approximations of Hamilton-Jacobi-Bellman equations in dimension 1
• High-Order Essentially Nonoscillatory Schemes for Hamilton–Jacobi Equations
• A Priori Error Estimates for Numerical Methods for Scalar Conservation Laws Part III: Multidimensional Flux-Splitting Monotone Schemes on Non-Cartesian Grids
• Lax theorem and finite volume schemes
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• High order numerical discretization for Hamilton-Jacobi equations on triangular meshes.
• Contact discontinuity capturing schemes for linear advection and compressible gas dynamics

This page was built for publication: Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data