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An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005439
URN to cite this document: urn:nbn:de:bvb:703-epub-5439-9

Title data

Grüne, Lars:
An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation.
Bayreuth , 1997

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Abstract

In this paper an adaptive finite difference scheme for the solution of the discrete first order Hamilton-Jacobi-Bellman equation is presented. Local a posteriori error estimates are established and certain properties of these estimates are proved. Based on these estimates an adapting iteration for the discretization of the state space is developed. An implementation of the scheme for two-dimensional grids is given and numerical examples are discussed.

Further data

Item Type: Preprint, postprint
Additional notes (visible to public): erschienen In:
Numerische Mathematik. Bd. 75 (1997) Heft 3 . - S. 319-337
Keywords: finite difference method; error estimates; adaptive grid scheme; Hamilton-Jacobi-Bellmann equation; discrete time control system
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5439-9
Date Deposited: 05 May 2021 12:18
Last Modified: 05 May 2021 12:19
URI: https://epub.uni-bayreuth.de/id/eprint/5439
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