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Rapport (Rapport De Recherche) Année : 2006

The max-plus finite element method for solving deterministic optimal control problems: basic properties and convergence analysis

Résumé

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. We show that the error in the sup norm can be bounded from the difference between the value function and its projections on max-plus and min-plus semimodules, when the max-plus analogue of the stiffness matrix is exactly known. In general, the stiffness matrix must be approximated: this requires approximating the operation of the Lax-Oleinik semigroup on finite elements. We consider two approximations relying on the Hamiltonian. We derive a convergence result, in arbitrary dimension, showing that for a class of problems, the error estimate is of order $\delta+\Dtax(\delta)^-1$ or $\sqrt\delta+\Dtax(\delta)^-1$, depending on the choice of the approximation, where $\delta$ and $\Dtax$ are respectively the time and space discretization steps. We compare our method with another max-plus based discretization method previously introduced by Fleming and McEneaney. We give numerical examples in dimension 1 and 2.
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Dates et versions

inria-00071395 , version 1 (23-05-2006)

Identifiants

  • HAL Id : inria-00071395 , version 1

Citer

Marianne Akian, Stéphane Gaubert, Asma Lakhoua. The max-plus finite element method for solving deterministic optimal control problems: basic properties and convergence analysis. [Research Report] RR-5874, INRIA. 2006. ⟨inria-00071395⟩
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