Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations

Titelangaben

Grüne, Lars:
Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations.
Bayreuth , 2000

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Abstract

We present an adaptive grid generation for a class of evolutive Hamilton-Jacobi-Bellman equations. Using a two step (semi-Lagrangian) discretization of the underlying optimal control problem we define a-posteriori local error estimates for the discretization error in space. Based on these estimates we present an iterative procedure for the generation of adaptive grids and discuss implementational details for a suitable hierarchical data structure.