Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control

doi:10.1109/TAC.2015.2406976

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	Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control
	Sun, Bing 1; Guo, Bao-Zhu2,3
	2015-11-01
发表期刊	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN	0018-9286
卷号	60 期号:11 页码:3012-3017
摘要	This technical note considers convergence of an upwind finite-difference numerical scheme for the Hamilton-Jacobi-Bellman equation arising in optimal control. This effective scheme has been well-adapted and successfully applied to many examples. Nevertheless, its convergence has remained open until now. In this note, we show that the solution from this finite-difference scheme converges to the value function of the associated optimal control problem.
关键词	Convergence finite-difference Hamilton-Jacobi-Bellman equation numerical approximation optimal control
DOI	10.1109/TAC.2015.2406976
语种	英语
资助项目	National Natural Science Foundation of China[11471036] ; National Natural Science Foundation of China[61273129] ; National Natural Science Foundation of China[11171011] ; National Basic Research Program of China[2011CB808002]
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000367284400016
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21653
专题	系统科学研究所
通讯作者	Sun, Bing
作者单位	1.Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China 2.Acad Sinica, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Witwatersrand, Sch Computat & Appl Math, ZA-2000 Johannesburg, South Africa
推荐引用方式 GB/T 7714	Sun, Bing,Guo, Bao-Zhu. Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2015,60(11):3012-3017.
APA	Sun, Bing,&Guo, Bao-Zhu.(2015).Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,60(11),3012-3017.
MLA	Sun, Bing,et al."Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 60.11(2015):3012-3017.