Convergence of the Optimal Feedback Policies in a Numerical Method for a Class of Deterministic Optimal Control Problems

DOI10.1137/S0363012998344968zbMath1001.49032MaRDI QIDQ2753211

Paul Dupuis, Adam A. Szpiro

Publication date: 29 October 2001

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

optimal controlrate of convergencefeedback controlnumerical approximationfinite difference approximationMarkov chain approximation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Numerical analysis or methods applied to Markov chains (65C40) Finite difference methods for boundary value problems involving PDEs (65N06)

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