Discrete Approximations of the Hamilton-Jacobi Equation for an Optimal Control Problem of a Differential-Algebraic System

Abstract : This paper discusses the numerical resolution of the Hamilton-Jacobi-Bellman equation associated with optimal control problem when the state equation is of algebraic differential type. We discuss two numerical sche­mes. The first reduces to the standard framework, while the second does not suppose any knowledge of the Jacobian of the data. We obtain some error estimates, and display numerical results obtained on a simple test problem.
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https://hal.inria.fr/inria-00072322
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Submitted on : Tuesday, May 23, 2006 - 8:24:00 PM
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  • HAL Id : inria-00072322, version 1

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J. Frederic Bonnans, Philippe Chartier, Hasnaa Zidani. Discrete Approximations of the Hamilton-Jacobi Equation for an Optimal Control Problem of a Differential-Algebraic System. [Research Report] RR-4265, INRIA. 2001. ⟨inria-00072322⟩

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