Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28607
Title: Upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations
Authors: Wang, S
Gao, F
Teo, KL
Issue Date: 2000
Publisher: Oxford Univ Press, Oxford, United Kingdom
Source: IMA journal of mathematical control and information, 2000, v. 17, no. 2, p. 167-178 How to cite?
Journal: IMA Journal of Mathematical Control and Information 
Abstract: This paper presents an upwind finite-difference method for the numerical approximation of viscosity solutions of a Hamilton-Jacobi-Bellman (HJB) equation governing a class of optimal feedback control problems. The method is based on an explicit finite-difference scheme, and it is shown that the method is stable under certain constraints on the step lengths of the discretization. Numerical results, performed to verify the usefulness of the method, show that the method gives accurate approximate solutions to both the control and the state variables.
URI: http://hdl.handle.net/10397/28607
ISSN: 0265-0754
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

13
Last Week
2
Last month
0
Citations as of Feb 26, 2017

Page view(s)

41
Last Week
2
Last month
Checked on Aug 20, 2017

Google ScholarTM

Check



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.