Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data
DOI10.1007/S00211-009-0271-1zbMATH Open1187.65098OpenAlexW2146237228MaRDI QIDQ2270141FDOQ2270141
Authors: Olivier Bokanowski, Nadia Megdich, 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
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numerical examplesHamilton-Jacobi-Bellman equationeikonal equationdiscontinuous datanon-monotone scheme
Hamilton-Jacobi equations (35F21) PDEs with low regular coefficients and/or low regular data (35R05) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
Cites Work
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Cited In (14)
- Value iteration convergence of \(\varepsilon\)-monotone schemes for stationary Hamilton-Jacobi equations
- Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
- Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems
- An efficient filtered scheme for some first order time-dependent Hamilton-Jacobi equations
- An efficient data structure and accurate scheme to solve front propagation problems
- Convergence of a first order scheme for a nonlocal eikonal equation
- Anti-dissipative schemes for advection and application to Hamilton-Jacobi-bellmann equations
- Optimal feedback control for undamped wave equations by solving a HJB equation
- Some non monotone schemes for Hamilton-Jacobi-Bellman equations
- Time periodic optimal policy for operation of a water storage tank using the dynamic programming approach
- Convergence of an Upwind Finite-Difference Scheme for Hamilton–Jacobi–Bellman Equation in Optimal Control
- \(L^1\)-error estimates for numerical approximations of Hamilton-Jacobi-Bellman equations in dimension 1
- Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems
- Convergence of the solutions of the discounted Hamilton-Jacobi equation: a counterexample
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