Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method

DOI10.1080/02331930500530237zbMath1093.65069OpenAlexW1977176662WikidataQ59416204 ScholiaQ59416204MaRDI QIDQ5475294

Steven Richardson, Songgui Wang

Publication date: 16 June 2006

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930500530237

zbMATH Keywords

stabilityHamilton-Jacobi-Bellman equationfinite volume methodstochastic controlnumerical experiments\(M\)-matrixoptimal feedback control problemEuler finite difference scheme

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence theories for optimal control problems involving partial differential equations (49J20) Discrete approximations in optimal control (49M25)

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Uses Software

• FFSQP(f77)

Cites Work

• Fast Toeplitz orthogonalization