Convergence of an Upwind Finite-Difference Scheme for Hamilton–Jacobi–Bellman Equation in Optimal Control

DOI10.1109/TAC.2015.2406976zbMath1360.65218WikidataQ56918369 ScholiaQ56918369MaRDI QIDQ2982518

Bao-Zhu Guo, Bing Sun

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

49M25: Discrete approximations in optimal control

35Q93: PDEs in connection with control and optimization