5. Efficient Higher Order Time Discretization Schemes For Hamilton–Jacobi–Bellman Equations Based On Diagonally Implicit Symplectic Runge–Kutta Methods

DOI10.1515/9783110543599-005zbMATH Open1405.49019OpenAlexW4213037993MaRDI QIDQ4557477FDOQ4557477

Authors: Jochen Garcke, Ilja Kalmykov 

Publication date: 23 November 2018

Published in: Hamilton-Jacobi-Bellman Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/9783110543599-005

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal feedback controlsparse gridsdynamic programming principlediagonally implicit symplectic Runge-Kutta methodsRunge-Kutta composition methods

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimality conditions for problems involving partial differential equations (49K20) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Cited In (2)

• Well-posedness and large-time behaviors of solutions for a parabolic equation involving \(p(x)\)-Laplacian
• Exponential Lawson integration for nearly Hamiltonian systems arising in optimal control

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