Rates of Convergence for Approximation Schemes in Optimal Control
DOI10.1137/S0363012994267789zbMATH Open0914.93072MaRDI QIDQ4388931FDOQ4388931
Authors: Paul Dupuis, Matthew R. James 
Publication date: 10 May 1998
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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- Consistent Approximations and Approximate Functions and Gradients in Optimal Control
rate of convergencenumerical approximationoptimal controlergodic controlfinite differencesnonlinear PDEreflected diffusions
Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Optimal stochastic control (93E20)
Cited In (17)
- An Algebraic Convergence Rate for the Optimal Control of McKean–Vlasov Dynamics
- Rate of convergence for the Legendre pseudospectral optimal control of feedback linearizable systems
- On the Taylor expansion of value functions
- Rate of convergence of a numerical procedure for impulsive control problems
- Approximate solutions of the Bellman equation of deterministic control theory
- Title not available (Why is that?)
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- Sticky Brownian Motion and Its Numerical Solution
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Explicit convergence rates for MRAC-type systems
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- Convergence rates of moment-sum-of-squares hierarchies for optimal control problems
- The Euler approximation in state constrained optimal control
- Letter to the editor concerning ``Rates of convergence of control polygons
- Moderate deviations-based importance sampling for stochastic recursive equations
- Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method
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