On the rate of convergence of infinite horizon discounted optimal value functions

DOI10.1016/S0362-546X(99)00288-6zbMath0974.49002OpenAlexW2053771914MaRDI QIDQ5933582

Lars Grüne, Fabian R. Wirth

Publication date: 16 December 2001

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0362-546x(99)00288-6

zbMATH Keywords

rate of convergenceinfinite horizon discounted optimal control problemoptimal value function

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (2)

On the vanishing discount approximation for compactly supported perturbations of periodic Hamiltonians: the 1d case ⋮ Asymptotic behavior of the value functions of discrete-time discounted optimal control

Cites Work

• Neumann type boundary conditions for Hamilton-Jacobi equations
• Minimal and maximal Lyapunov exponents of bilinear control systems
• On the relation between discounted and average optimal value functions
• Ergodic problem for the Hamilton-Jacobi-Bellman equation. I: Existence of the ergodic attractor
• Ergodic problem for the Hamilton-Jacobi-Bellman equation. II
• Asymptotic Behaviour of Optimal Control Systems with Low Discount Rates
• Numerical Stabilization of Bilinear Control Systems
• The Lyapunov spectrum of families of time-varying matrices
• On the calculation of time-varying stability radii
• Convergence of the Value Functions of Discounted Infinite Horizon Optimal Control Problems with Low Discount Rates
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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