NUMERICAL ANALYSIS OF A MINIMAX OPTIMAL CONTROL PROBLEM WITH AN ADDITIVE FINAL COST

DOI10.1142/S021820250200160XzbMath1027.49025OpenAlexW2056086076MaRDI QIDQ4798959

Silvia C. Di Marco, Roberto L. V. González, Laura S. Aragone

Publication date: 16 March 2003

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021820250200160x

zbMATH Keywords

discretizationoptimal controldynamic programmingviscosity solutionminimax problemconvergence rateHamilton-Jacobi inequalityvalue function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Optimality conditions for minimax problems (49K35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25)

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Cites Work

• On unbounded solutions of Bellman's equation associated with optimal switching control problems with state constraints
• Minimax optimal control problems. Numerical analysis of the finite horizon case
• Optimal Control on the $L^\infty $ Norm of a Diffusion Process
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• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Relaxed Minimax Control