Deterministic impulse control problems: two discrete approximations of the quasi-variational inequality

DOI10.1016/J.CAM.2016.06.031MaRDI QIDQ313602zbMATH OpenOpenAlexFDO

Authors Naïma El Farouq

Publication date 12 September 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.06.031

zbMATH Keywords

convergence rateviscosity solutiondiscrete approximationsHamilton-Jacobi quasi-variational inequalityinfinite horizon impulse control

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25)

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Cites work

• Analysis and approximation of the infinite-horizon problem with impulsive controls
• Approximate solutions of the Bellman equation of deterministic control theory
• Approximation of control problems involving ordinary and impulsive controls
• Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
• Deterministic Impulse Control Problems
• Deterministic minimax impulse control
• Dynamic programming and inventory control.
• On Deterministic Control Problems: An Approximation Procedure for the Optimal Cost I. The Stationary Problem
• On Deterministic Control Problems: an Approximation Procedure for the Optimal Cost II. The Nonstationary Case
• On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

Cited in

(15)

• Continuity of the value function for deterministic optimal impulse control with terminal state constraint
• Rate of convergence of a numerical procedure for impulsive control problems
• \(L^{\infty }\)-asymptotic behavior for a finite element approximation in parabolic quasi-variational inequalities related to impulse control problem
• Impulse control in discrete time
• Deterministic Impulse Control Problems
• Weakly chained matrices, policy iteration, and impulse control
• On the equivalence of the integral and differential Bellman equations in impulse control problems
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Time periodic optimal policy for operation of a water storage tank using the dynamic programming approach
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Quasi-Variational Inequalities with Dirichlet Boundary Condition Related to Exit Time Problems for Impulse Control
• Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
• Degenerate first-order quasi-variational inequalities: an approach to approximate the value function
• The noncoercive quasi-variational inequalities related to impulse control problems
• On the numerical analysis of the ergodic control quasi-variational inequalities

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