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Numerical procedure to approximate a singular optimal control problem
Published online by Cambridge University Press: 02 August 2007
Abstract
In this work we deal with the numerical solution of a Hamilton-Jacobi-Bellman (HJB) equation with infinitely many solutions. To compute the maximal solution – the optimal cost of the original optimal control problem – we present a complete discrete method based on the use of some finite elements and penalization techniques.
Keywords
- Type
- Research Article
- Information
- ESAIM: Mathematical Modelling and Numerical Analysis , Volume 41 , Issue 3 , May 2007 , pp. 461 - 484
- Copyright
- © EDP Sciences, SMAI, 2007