Convergence of an upwind finite-difference scheme for Hamilton-Jacobi-bellman equation in optimal control

Bing Sun; Bao Zhu Guo

doi:10.1109/TAC.2015.2406976

Convergence of an upwind finite-difference scheme for Hamilton-Jacobi-bellman equation in optimal control

Bing Sun^*
, Bao Zhu Guo

^*此作品的通讯作者

数学学院

CAS - Academy of Mathematics and System Sciences
University of the Witwatersrand

科研成果: 期刊稿件 › 文章 › 同行评审

26 引用（Scopus）

摘要

This technical note considers convergence of an upwind finite-difference numerical scheme for the Hamilton-Jacobi-Bellman equation arising in optimal control. This effective scheme has been well-adapted and successfully applied to many examples. Nevertheless, its convergence has remained open until now. In this note, we show that the solution from this finite-difference scheme converges to the value function of the associated optimal control problem.

源语言	英语
文章编号	7047786
页（从-至）	3012-3017
页数	6
期刊	IEEE Transactions on Automatic Control
卷	60
期	11
DOI	https://doi.org/10.1109/TAC.2015.2406976
出版状态	已出版 - 1 11月 2015

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abstract = "This technical note considers convergence of an upwind finite-difference numerical scheme for the Hamilton-Jacobi-Bellman equation arising in optimal control. This effective scheme has been well-adapted and successfully applied to many examples. Nevertheless, its convergence has remained open until now. In this note, we show that the solution from this finite-difference scheme converges to the value function of the associated optimal control problem.",

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KW - Convergence

KW - Hamilton-Jacobi-Bellman equation

KW - finite-difference

KW - numerical approximation

KW - optimal control

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Convergence of an upwind finite-difference scheme for Hamilton-Jacobi-bellman equation in optimal control

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