Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
DOI10.1007/S00211-004-0555-4zbMATH Open1074.65009OpenAlexW2114599381MaRDI QIDQ706233FDOQ706233
Authors: Lars Grüne 
Publication date: 8 February 2005
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00211-004-0555-4
Recommendations
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations
- On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
- scientific article; zbMATH DE number 4187029
- Dynamic programming and error estimates for stochastic control problems with maximum cost
numerical examplesa posteriori error estimatesstochastic optimal controlfeedback optimal controlstochastic Hamilton-Jacobi-Bellman equation
Numerical optimization and variational techniques (65K10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for boundary value problems involving PDEs (65N15)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- An efficient algorithm for Hamilton-Jacobi equations in high dimension
- Title not available (Why is that?)
- Viscosity Solutions of Hamilton-Jacobi Equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Convergence of Semi-Lagrangian Approximations to Convex Hamilton--Jacobi Equations under (Very) Large Courant Numbers
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- An approximation scheme for the optimal control of diffusion processes
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- A numerical approach to the infinite horizon problem of deterministic control theory
- Asymptotic behavior of dynamical and control systems under perturbation and discretization
- Homogeneous State Feedback Stabilization of Homogenous Systems
- Numerical approximation of the maximal solutions for a class of degenerate Hamilton-Jacobi equations
- The dynamics of control. With an appendix by Lars Grüne
- Title not available (Why is that?)
- Using Randomization to Break the Curse of Dimensionality
- Variable resolution discretization in optimal control
- Some Estimates for Finite Difference Approximations
- An a posteriori error estimator for anisotropic refinement
- Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
- Optimal discretization steps in semi-Lagrangian approximation of first-order PDEs
- Using dynamic programming with adaptive grid scheme for optimal control problems in economics
- Creditworthiness and thresholds in a credit market model with multiple equilibria
- Splines and efficiency in dynamic programming
- Solving higher-dimensional continuous-time stochastic control problems by value function regression
- A Zubov's method for stochastic differential equations
- Characterizing attraction probabilities via the stochastic Zubov equation
- Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations
- An adaptive scheme on unstructured grids for the shape-from-shading problem
- SPLINE APPROXIMATIONS TO VALUE FUNCTIONS
- Title not available (Why is that?)
- On numerical algorithm and interactive visualization for optimal control problems
Cited In (10)
- Dynamic programming using radial basis functions
- STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
- Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
- Error estimates for a stochastic impulse control problem
- An adaptive method with rigorous error control for the Hamilton--Jacobi equations. II: The two-dimensional steady-state case
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- Asset pricing with loss aversion
- Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations
- A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation
- A numerical method for hybrid optimal control based on dynamic programming
This page was built for publication: Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q706233)
