A Curse-of-Dimensionality-Free Numerical Method for Solution of Certain HJB PDEs

DOI10.1137/040610830zbMath1251.65168OpenAlexW2008455282MaRDI QIDQ3516077

William M. McEneaney

Publication date: 1 August 2008

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

Full work available at URL: https://semanticscholar.org/paper/00b3088967fab5e9571f9ff036396a27513b8a55

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationsLegendre transformpartial differential equationscurse of dimensionalitymax-plus algebraidempotent analysissemiconvexityFenchel transform

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by partial differential equations (93C20) Discrete approximations in optimal control (49M25) Numerical methods for partial differential equations, boundary value problems (65N99)

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