Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
type: Item
instance of: scholarly article
title: Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
zbMATH Open document ID: 1047.49026
DOI: 10.1023/A:1024980623095
author: D. Massart
published in: Journal of Global Optimization
publication date: 2003-09-15T00:00:00Z
review text: An optimal control problem is transformed into a Hamilton-Jacobi-Bellman initial value problem. It is proposed that a finite volume method coupled with the backward Euler scheme be used for its solution. The method is absolutely stable by the nature of the time characterization. At each time step the discretization yields a linear system with a positive definite \(M\) matrix.
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 49M25
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 1981583
zbMATH Keywords: optimal feedback control
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: finite volume method
zbMATH Keywords: viscosity solution
zbMATH Keywords: upwind finite difference
reviewed by: Sanjo Zlobec
MaRDI profile type: Publication
full work available at URL: a:1024980623095
OpenAlex ID: W1508405709
description: scientific article; zbMATH DE number 1981583