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

DOI10.1515/9783110543599-005MaRDI QIDQ4557477zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

diagonally implicit symplectic Runge-Kutta methodsdynamic programming principleHamilton-Jacobi-Bellman equationoptimal feedback controlRunge-Kutta composition methodssparse grids

Mathematics Subject Classification ID

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) Dynamic programming (90C39)

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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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