Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method (Q1407246)

An optimal control problem is transformed into a Hamilton-Jacobi-Bellman initial value problem. It is proposed that a finite volume method coupled with the backward Euler scheme be used for its solution. The method is absolutely stable by the nature of the time characterization. At each time step the discretization yields a linear system with a positive definite \(M\) matrix.