A patchy dynamic programming scheme for a class of Hamilton-Jacobi-Bellman equations

DOI10.1137/110841576zbMATH Open1259.65097arXiv1109.3577OpenAlexW1966419611MaRDI QIDQ4903734FDOQ4903734

Authors: Simone Cacace, Emiliano Cristiani, M. Falcone, Athena Picarelli 

Publication date: 24 January 2013

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: In this paper we present a new algorithm for the solution of Hamilton-Jacobi-Bellman equations related to optimal control problems. The key idea is to divide the domain of computation into subdomains which are shaped by the optimal dynamics of the underlying control problem. This can result in a rather complex geometrical subdivision, but it has the advantage that every subdomain is invariant with respect to the optimal dynamics, and then the solution can be computed independently in each subdomain. The features of this dynamics-dependent domain decomposition can be exploited to speed up the computation and for an efficient parallelization, since the classical transmission conditions at the boundaries of the subdomains can be avoided. For their properties, the subdomains are patches in the sense introduced by Ancona and Bressan [ESAIM Control Optim. Calc. Var., 4 (1999), pp. 445-471]. Several examples in two and three dimensions illustrate the properties of the new method.

Full work available at URL: https://arxiv.org/abs/1109.3577

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zbMATH Keywords

dynamic programmingnumerical examplesalgorithmdomain decompositionHamilton-Jacobi-Bellman equationsoptimal control

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20)

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