An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations
DOI10.1093/IMAMCI/17.2.167zbMATH Open0952.49025OpenAlexW1998360780MaRDI QIDQ4489087FDOQ4489087
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Publication date: 9 July 2000
Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imamci/17.2.167
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Hamilton-Jacobi-Bellman equationsnumerical approximationviscosity solutionsoptimal feedback controlupwind finite-difference method
Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25)
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