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Reports (Research Report) Year : 2004

A max-plus finite element method for solving finite horizon deterministic optimal control problems

Abstract

We introduce a max-plus analogue of the Petrov-Galerkin finite element method, to solve finite horizon deterministic optimal control problems. The method relies on a max-plus variational formulation, and exploits the properties of projectors on max-plus semimodules. We obtain a nonlinear discretized semigroup, corresponding to a zero-sum two players game. We give an error estimate of order $\sqrt{\Dta t}+\Dta x(\Dta t)^{-1}$, for a subclass of problems in dimension 1. We compare our method with a max-plus based discretization method previously introduced by Fleming and McEneaney.
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Dates and versions

inria-00071426 , version 1 (23-05-2006)

Identifiers

  • HAL Id : inria-00071426 , version 1

Cite

Marianne Akian, Stéphane Gaubert, Asma Lakhoua. A max-plus finite element method for solving finite horizon deterministic optimal control problems. [Research Report] RR-5163, INRIA. 2004. ⟨inria-00071426⟩
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