An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations

DOI10.1093/imamci/17.2.167zbMath0952.49025OpenAlexW1998360780MaRDI QIDQ4489087

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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

zbMATH Keywords

optimal feedback controlHamilton-Jacobi-Bellman equationsnumerical approximationviscosity solutionsupwind finite-difference method

Mathematics Subject Classification ID

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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