A tree structure algorithm for optimal control problems with state constraints
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Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) 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) Finite difference methods for boundary value problems involving PDEs (65N06) Feedback control (93B52)
Abstract: We present a tree structure algorithm for optimal control problems with state constraints. We prove a convergence result for a discrete time approximation of the value function based on a novel formulation of the constrained problem. Then the Dynamic Programming approach is developed by a discretization in time leading to a tree structure in space derived by the controlled dynamics, in this construction the state constraints are taken into account to cut several branches of the tree. Moreover, an additional pruning allows for the reduction of the tree complexity as for the case without state constraints. Since the method does not use an a priori space grid, no interpolation is needed for the reconstruction of the value function and the accuracy essentially relies on the time step . These features permit a reduction in CPU time and in memory allocations. The synthesis of optimal feedback controls is based on the values on the tree and an interpolation on the values obtained on the tree will be necessary if a different discretization in the control space is adopted, e.g. to improve the accuracy of the method in the reconstruction of the optimal trajectories. Several examples show how this algorithm can be applied to problems in low dimension and compare it to a classical DP method on a grid.
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Cited in
(10)- Evaluation of piecewise affine control via binary search tree
- Optimistic planning algorithms for state-constrained optimal control problems
- Approximation of optimal control problems for the Navier-Stokes equation via multilinear HJB-POD
- Error Estimates for a Tree Structure Algorithm Solving Finite Horizon Control Problems
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- Data-Driven Tensor Train Gradient Cross Approximation for Hamilton–Jacobi–Bellman Equations
- Neural networks for first order HJB equations and application to front propagation with obstacle terms
- A multilinear HJB-POD method for the optimal control of PDEs on a tree structure
- Reliable optimal controls for SEIR models in epidemiology
- Representation results and error estimates for differential games with applications using neural networks
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