Local minimization algorithms for dynamic programming equations

DOI10.1137/15M1010269MaRDI QIDQ2811989zbMATH OpenFDO

Authors Dante Kalise, Axel Kröner, Karl Kunisch

Publication date 10 June 2016

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.07193

zbMATH Keywords

algorithmcontinuous-time optimal controldynamic programmingfirst-order primal-dual methodsHamilton-Jacobi-Bellman equationssemi-Lagrangian schemessemismooth Newton methods

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20) Newton-type methods (49M15) Numerical optimization and variational techniques (65K10)

Abstract: The numerical realization of the dynamic programming principle for continuous-time optimal control leads to nonlinear Hamilton-Jacobi-Bellman equations which require the minimization of a nonlinear mapping over the set of admissible controls. This minimization is often performed by comparison over a finite number of elements of the control set. In this paper we demonstrate the importance of an accurate realization of these minimization problems and propose algorithms by which this can be achieved effectively. The considered class of equations includes nonsmooth control problems with $el{l}_1$-penalization which lead to sparse controls.

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Cited in

(9)

• Mean field control hierarchy
• An HJB-POD approach for the control of nonlinear PDEs on a tree structure
• Infinite horizon sparse optimal control
• A HJB-POD feedback synthesis approach for the wave equation
• Sparse and switching infinite horizon optimal controls with mixed-norm penalizations
• Suboptimal feedback control of PDEs by solving HJB equations on adaptive sparse grids
• An efficient DP algorithm on a tree-structure for finite horizon optimal control problems
• Primal-dual extragradient methods for nonlinear nonsmooth PDE-constrained optimization
• Local optimization of dynamic programs with guaranteed satisfaction of path constraints

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