Journal article
Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations
- Abstract:
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An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for different control parameters. Standard convergence analysis suggests that monotone (i.e., linear) interpolation must be used to transfer data between meshes. Using the equivalence to a switching system and an adaptation of the usual arguments based on consist...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Accepted manuscript, pdf, 512.4KB, Terms of use)
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- Publisher copy:
- 10.1016/j.apnum.2016.01.001
Authors
Bibliographic Details
- Publisher:
- Elsevier
- Journal:
- Applied Numerical Mathematics More from this journal
- Volume:
- 103
- Pages:
- 27-47
- Publication date:
- 2016-05-01
- Acceptance date:
- 2016-01-05
- DOI:
- EISSN:
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1873-5460
- ISSN:
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0168-9274
Item Description
- Keywords:
- Pubs id:
-
pubs:604678
- UUID:
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uuid:e2b5b2b6-bee6-4068-815d-cd0aac913f3a
- Local pid:
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pubs:604678
- Source identifiers:
-
604678
- Deposit date:
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2017-01-30
Terms of use
- Copyright holder:
- IMACS
- Copyright date:
- 2016
- Notes:
- ©2016 IMACS. Published by Elsevier B.V. All rights reserved. This is the accepted manuscript version of the article. The final version is available online from Elsevier at: 10.1016/j.apnum.2016.01.001
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