A numerical approach to the infinite horizon problem of deterministic control theory

DOI10.1007/BF01442644zbMATH Open0715.49023MaRDI QIDQ752463FDOQ752463

Authors: M. Falcone 

Publication date: 1987

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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zbMATH Keywords

viscosity solutiontime discretizationfinite element techniquesHamilton-Jacobi (HJ) equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Numerical methods of relaxation type (49M20)

Cites Work

• On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
• Two approximations of solutions of Hamilton-Jacobi equations
• Title not available (Why is that?)
• Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
• Viscosity Solutions of Hamilton-Jacobi Equations
• Title not available (Why is that?)
• Approximate solutions of the Bellman equation of deterministic control theory
• On Deterministic Control Problems: An Approximation Procedure for the Optimal Cost I. The Stationary Problem
• Title not available (Why is that?)

Cited In (62)

• MG-FIM: a multi-GPU fast iterative method using adaptive domain decomposition
• Approximative policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format
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• Classification of discrete weak KAM solutions on linearly repetitive quasi-periodic sets
• Dynamic programming using radial basis functions
• Feedback control of parametrized PDEs via model order reduction and dynamic programming principle
• A limit theorem for Markov decision processes
• Optimal Bounds for Numerical Approximations of Infinite Horizon Problems Based on Dynamic Programming Approach
• Numerical methods for construction of value functions in optimal control problems on an infinite horizon
• Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
• Error estimates for a finite difference scheme associated with Hamilton-Jacobi equations on a junction
• Robust shortest path planning and semicontractive dynamic programming
• Discrete dynamic programming and viscosity solutions of the Bellman equation
• Approximate solutions to the time-invariant Hamilton-Jacobi-Bellman equation
• Numerical approximation of the \(H_ \infty\) norm of nonlinear systems
• Stabilizing the Hamiltonian system for constructing optimal trajectories
• Approximation of control problems involving ordinary and impulsive controls
• Error bounds for a numerical solution for dynamic economic models
• On the role of computation in economic theory
• Semi-Lagrangian schemes for Hamilton-Jacobi equations, discrete representation formulae and Godunov methods
• Fully discrete schemes for monotone optimal control problems
• A convergent scheme for Hamilton-Jacobi equations on a junction: application to traffic
• An efficient algorithm for Hamilton-Jacobi equations in high dimension
• Learning optimal control in deterministic systems
• Smooth dynamics and computation in models of economic growth
• An adaptive sparse grid semi-Lagrangian scheme for first order Hamilton-Jacobi Bellman equations
• Using nonlinear model predictive control for dynamic decision problems in economics
• Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation
• Fast weak-KAM integrators for separable Hamiltonian systems
• Smooth dynamics and computation in models of economic growth
• Numerical solution of infinite-horizon optimal-control problems
• Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
• Comments on ``A numerical approach to the infinite horizon problem of deterministic control theory
• Solving nonlinear dynamic models by iterative dynamic programming
• Asset pricing with dynamic programming
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Using dynamic programming with adaptive grid scheme for optimal control problems in economics
• Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
• Approximating optimal feedback controllers of finite horizon control problems using hierarchical tensor formats
• Numerical schemes for investment models with singular transactions
• Local minimization algorithms for dynamic programming equations
• Equivalent extensions of Hamilton-Jacobi-Bellman equations on hypersurfaces
• User’s guide to viscosity solutions of second order partial differential equations
• Error Estimates for a Tree Structure Algorithm Solving Finite Horizon Control Problems
• A numerical method for hybrid optimal control based on dynamic programming
• A comparison theorem for a piecewise Lipschitz continuous Hamiltonian and application to Shape-from-Shading problems
• On the optimal exploitation of interacting resources
• A PDE-based method for shape registration
• Optimal control with budget constraints and resets
• Numerical treatment of a class of optimal control problems arising in economics
• Reconstruction of independent sub-domains for a class of Hamilton-Jacobi equations and application to parallel computing
• An approximation scheme for the optimal control of diffusion processes
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• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Numerical Schemes for Conservation Laws via Hamilton-Jacobi Equations
• Approximation of optimal feedback control: a dynamic programming approach
• Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method
• The present value of resources with large discount rates
• Error analysis for POD approximations of infinite horizon problems via the dynamic programming approach
• Approximation of solutions of Hamilton-Jacobi equations on the Heisenberg group
• Riemannian fast-marching on cartesian grids, using Voronoi's first reduction of quadratic forms
• Corrigenda: A numerical approach to the infinite horizon problem of deterministic control theory

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