A Curse-of-Dimensionality-Free Numerical Method for Solution of Certain HJB PDEs

DOI10.1137/040610830MaRDI QIDQ3516077zbMATH OpenOpenAlexFDO

Authors William M. Mceneaney

Publication date 1 August 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/00b3088967fab5e9571f9ff036396a27513b8a55

zbMATH Keywords

curse of dimensionalitydynamic programmingHamilton-Jacobi-Bellman equationspartial differential equationsmax-plus algebraLegendre transformsemiconvexityFenchel transformidempotent analysis

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Control/observation systems governed by partial differential equations (93C20) Numerical methods for partial differential equations, boundary value problems (65N99)

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Cited in

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• Tensor decomposition methods for high-dimensional Hamilton-Jacobi-Bellman equations
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• Maximizing concave piecewise affine functions on the unitary group
• Stochastic differential games: a sampling approach via FBSDEs
• Max-plus methods for nonlinear control and estimation.
• Lax-Oleinik-type formulas and efficient algorithms for certain high-dimensional optimal control problems
• Tropical reproducing kernels and optimization
• A new fundamental solution for differential Riccati equations arising in control
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• On some neural network architectures that can represent viscosity solutions of certain high dimensional Hamilton-Jacobi partial differential equations
• Certification of real inequalities: templates and sums of squares
• Approximate dynamic programming via iterated Bellman inequalities
• A differential game theoretic approach for two-agent collision avoidance with travel limitations
• Max-plus summation of Fenchel-transformed semigroups for solution of nonlinear Bellman equations
• Idempotent expansions for continuous-time stochastic control
• Connecting Hamilton-Jacobi partial differential equations with maximum a posteriori and posterior mean estimators for some non-convex priors
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• Distributed dynamic programming for discrete-time stochastic control, and idempotent algorithms
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• A tree structure approach to reachability analysis
• Contraction of Riccati flows applied to the convergence analysis of a max-plus curse-of-dimensionality-free method
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• A multilinear HJB-POD method for the optimal control of PDEs on a tree structure
• Optimal dual adaptive agile mobile wireless power control
• A multilevel fast marching method for the minimum time problem
• Dynamic programming and viscosity solutions for the optimal control of quantum spin systems
• Overcoming the curse of dimensionality for some Hamilton-Jacobi partial differential equations via neural network architectures
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• SympOCnet: Solving Optimal Control Problems with Applications to High-Dimensional Multiagent Path Planning Problems
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• HJB-RBF based approach for the control of PDEs
• Payoff suboptimality and errors in value induced by approximation of the Hamiltonian
• Stochastic optimal control via forward and backward stochastic differential equations and importance sampling

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