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Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control

文献类型：期刊论文

作者Sun, Bing1; Guo, Bao-Zhu2,3
刊名IEEE TRANSACTIONS ON AUTOMATIC CONTROL
出版日期2015-11-01
卷号60期号:11页码:3012-3017
关键词Convergence finite-difference Hamilton-Jacobi-Bellman equation numerical approximation optimal control
ISSN号0018-9286
DOI10.1109/TAC.2015.2406976
英文摘要This technical note considers convergence of an upwind finite-difference numerical scheme for the Hamilton-Jacobi-Bellman equation arising in optimal control. This effective scheme has been well-adapted and successfully applied to many examples. Nevertheless, its convergence has remained open until now. In this note, we show that the solution from this finite-difference scheme converges to the value function of the associated optimal control problem.
资助项目National Natural Science Foundation of China[11471036] ; National Natural Science Foundation of China[61273129] ; National Natural Science Foundation of China[11171011] ; National Basic Research Program of China[2011CB808002]
WOS研究方向Automation & Control Systems ; Engineering
语种英语
WOS记录号WOS:000367284400016
出版者IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/21652]  
专题系统科学研究所
通讯作者Sun, Bing
作者单位1.Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China
2.Acad Sinica, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Univ Witwatersrand, Sch Computat & Appl Math, ZA-2000 Johannesburg, South Africa
推荐引用方式
GB/T 7714		 Sun, Bing,Guo, Bao-Zhu. Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2015,60(11):3012-3017.
APA Sun, Bing,&Guo, Bao-Zhu.(2015).Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,60(11),3012-3017.
MLA Sun, Bing,et al."Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 60.11(2015):3012-3017.

入库方式： OAI收割

来源：数学与系统科学研究院

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