On quadratic approximations for Hamilton-Jacobi-Bellman equations

被引：1
|
作者：
Nakano, Yumiharu [1 ]
机构：
[1] Tokyo Inst Technol, Grad Sch Innovat Management, 2-12-1 W9-117 Ookayama, Tokyo 1528552, Japan
来源：
AUTOMATICA | 2016年 / 66卷
关键词：
Hamilton-Jacobi-Bellman equations; Quadratic approximations; Stochastic control; Partial differential equations; Error analysis; SCHEMES;
D O I：
10.1016/j.automatica.2016.01.001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study simple quadratic approximations for general Hamilton-Jacobi-Bellman equations. The theoretical error bounds are shown to be composed of the time discretization errors and quadratic approximation ones at each time step. Several numerical experiments show that the quadratic approximations work for the equations with the boundary and Hamiltonian well approximated by the quadratic functions. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：205 / 217
页数：13
相关论文
共 50 条
12345