On quadratic approximations for Hamilton-Jacobi-Bellman equations

DOI10.1016/J.AUTOMATICA.2016.01.001MaRDI QIDQ254587zbMATH OpenOpenAlexFDO

Authors Yumiharu Nakano

Publication date 8 March 2016

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2016.01.001

zbMATH Keywords

error analysisHamilton-Jacobi-Bellman equationspartial differential equationsquadratic approximationsstochastic control

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic programming (90C15) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
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• A fast algorithm for the two dimensional HJB equation of stochastic control
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• An approximation scheme for stochastic controls in continuous time
• An approximation scheme for the optimal control of diffusion processes
• An efficient algorithm for Hamilton-Jacobi equations in high dimension
• Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
• Controlled Markov processes and viscosity solutions
• Idempotent expansions for continuous-time stochastic control
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• Quadratic approximate dynamic programming for input-affine systems
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

Cited in

(5)

• Observer-based fault detection for uncertain nonlinear systems
• Extension of sufficient optimality conditions in the methods of Weierstrass and of Hamilton-Jacobi-Bellman
• Approximate solutions to the time-invariant Hamilton-Jacobi-Bellman equation
• Ergodic type Bellman equations of first order with quadratic Hamiltonian
• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

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