On application of an alternating direction method to Hamilton--Jacobin--Bellman equations. (Q1428495)
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scientific article; zbMATH DE number 2062765
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| English | On application of an alternating direction method to Hamilton--Jacobin--Bellman equations. |
scientific article; zbMATH DE number 2062765 |
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On application of an alternating direction method to Hamilton--Jacobin--Bellman equations. (English)
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29 March 2004
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The authors present a numerical method for the approximation of viscosity solutions to a Hamilton-Jacobi-Bellman (HJB) equation governing a class of optimal feedback control problems. The first-order HJB equation is perturbed by adding a diffusion term with a singular perturbation parameter. Discretization is used for time and space variables and an implicit modified method of characteristics and alternating direction scheme are detailed. Numerical results are given for a control problem.
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Optimal feedback control
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Hamilton-Jacobi-Bellman equation
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Finite difference method
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Viscosity solution
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Alternating direction method
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singular perturbation
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method of characteristics
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numerical results
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0.8364338874816895
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0.8332646489143372
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