Rates of Convergence for Approximation Schemes in Optimal Control

DOI10.1137/S0363012994267789MaRDI QIDQ4388931zbMATH OpenFDO

Authors Paul Dupuis, Matthew R. James

Publication date 10 May 1998

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

zbMATH Keywords

rate of convergencenumerical approximationoptimal controlergodic controlfinite differencesnonlinear PDEreflected diffusions

Mathematics Subject Classification ID

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)

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Cited in

(17)

• Rate of convergence for the Legendre pseudospectral optimal control of feedback linearizable systems
• An Algebraic Convergence Rate for the Optimal Control of McKean–Vlasov Dynamics
• 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
• scientific article; zbMATH DE number 923886 (Why is no real title available?)
• scientific article; zbMATH DE number 4007647 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 3887253 (Why is no real title available?)
• 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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