Discrete Approximations of the Hamilton-Jacobi Equation for an Optimal Control Problem of a Differential-Algebraic System
Bonnans, J. Frederic ; Chartier, Philippe ; Zidani, Hasnaa
HAL, Report N°: RR-4265 / Harvested from HAL
Text on HAL
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.
Publié le : 2001-07-05
Classification:  [INFO.INFO-OH]Computer Science [cs]/Other [cs.OH],  [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] 
@article{Report N°: RR-4265,
     author = {Bonnans, J. Frederic and Chartier, Philippe and Zidani, Hasnaa},
     title = {Discrete Approximations of the Hamilton-Jacobi Equation for an Optimal Control Problem of a Differential-Algebraic System},
     journal = {HAL},
     volume = {2001},
     number = {0},
     year = {2001},
     language = {en},
     url = {http://dml.mathdoc.fr/item/Report N°: RR-4265}
}

Bonnans, J. Frederic; Chartier, Philippe; Zidani, Hasnaa. Discrete Approximations of the Hamilton-Jacobi Equation for an Optimal Control Problem of a Differential-Algebraic System. HAL, Tome 2001 (2001) no. 0, . http://gdmltest.u-ga.fr/item/Report%20N%C2%B0:%20RR-4265/