Markov Chain Approximations for Deterministic Control Problems with Affine Dynamics and Quadratic Cost in the Control
DOI10.1137/S0036142997323521zbMATH Open0933.65073OpenAlexW2154018969MaRDI QIDQ4243582FDOQ4243582
Authors: Michelle Boué, Paul Dupuis 
Publication date: 19 May 1999
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142997323521
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convergencelarge deviationsweak convergencecalculus of variationsrobust controlcomputer visionfinite difference approximationMarkov chain approximationrobust filteringdeterministic optimal control
Numerical analysis or methods applied to Markov chains (65C40) Numerical optimization and variational techniques (65K10) Large deviations (60F10) Signal detection and filtering (aspects of stochastic processes) (60G35) Existence theories for optimal control problems involving ordinary differential equations (49J15) Dynamic programming in optimal control and differential games (49L20)
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- An ordered upwind method with precomputed stencil and monotone node acceptance for solving static convex Hamilton-Jacobi equations
- A fast Eulerian approach for computation of global isochrons in high dimensions
- Fast sweeping methods for factored anisotropic eikonal equations: multiplicative and additive factors
- A level-set adjoint-state method for transmission traveltime tomography in irregular domains
- Fast sweeping fifth order WENO scheme for static Hamilton-Jacobi equations with accurate boundary treatment
- Legendre-transform-based fast sweeping methods for static Hamilton-Jacobi equations on triangulated meshes
- Parallel re-initialization of level set functions on distributed unstructured tetrahedral grids
- Lax-Friedrichs sweeping scheme for static Hamilton-Jacobi equations
- A fast sweeping method for static convex Hamilton-Jacobi equations
- Operator-splitting based fast sweeping methods for isotropic wave propagation in a moving fluid
- Hybrid fast sweeping methods for anisotropic eikonal equation in two-dimensional tilted transversely isotropic media
- The use of a Legendre pseudospectral viscosity technique to solve a class of nonlinear dynamic Hamilton-Jacobi equations
- Level set methods: An overview and some recent results
- O(\(N\)) implementation of the fast marching algorithm
- Fast computation of weighted distance functions and geodesics on implicit hyper-surfaces
- The Lax-Friedrichs sweeping method for optimal control problems in continuous and hybrid dynamics
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Control-theoretic models of environmental crime
- Max-plus summation of Fenchel-transformed semigroups for solution of nonlinear Bellman equations
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- Hybrid massively parallel fast sweeping method for static Hamilton-Jacobi equations
- A third order fast sweeping method with linear computational complexity for eikonal equations
- A hybrid finite difference WENO-ZQ fast sweeping method for static Hamilton-Jacobi equations
- An efficient discontinuous Galerkin method on triangular meshes for a pedestrian flow model
- A rotating-grid upwind fast sweeping scheme for a class of Hamilton-Jacobi equations
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- Modeling illegal logging in Brazil
- The Chebyshev spectral viscosity method for the time dependent eikonal equation
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Convergence of the optimal feedback policies in a numerical method for a class of deterministic optimal control problems
- Rapid and accurate computation of the distance function using grids
- High order finite difference Hermite WENO fixed-point fast sweeping method for static Hamilton-Jacobi equations
- A boundary-only meshless method for numerical solution of the eikonal equation
- Approximation of deterministic mean field type control systems
- High order asymptotic preserving Hermite WENO fast sweeping method for the steady-state \(S_N\) transport equations
- A uniformly second order fast sweeping method for eikonal equations
- High order fast sweeping methods for static Hamilton-Jacobi equations
- Geometric optics in a phase-space-based level set and Eulerian framework
- Fast sweeping method for the factored eikonal equation
- Inverse Lax-Wendroff Boundary Treatment: a Survey
- A second order discontinuous Galerkin fast sweeping method for eikonal equations
- Optimal control with budget constraints and resets
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- A fast sweeping method for Eikonal equations
- Alternating evolution methods for static Hamilton-Jacobi equations
- The use of variational iteration method and Adomian decomposition method to solve the eikonal equation and its application in the reconstruction problem
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