Iterative upwind finite difference method with completed Richardson extrapolation for state-constrained HJB equations

zbMATH Open1405.65096MaRDI QIDQ2813615FDOQ2813615

Authors Hartono, L. S. Jennings, Song Wang

Publication date 24 June 2016

Published in Pacific Journal of Optimization (Search for Journal in Brave)

Full work available at URL http://www.yokohamapublishers.jp/online2/oppjo/vol12/p379.html

zbMATH Keywords

finite difference methodHamilton-Jacobi-Bellman equationoptimal controlpenalty functionRichardson extrapolation

Mathematics Subject Classification ID

Dynamic programming (90C39) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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(4)

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• An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations

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