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Numerical Solution to Optimal Feedback Control by Dynamic Programming Approach: A Local Approximation Algorithm
Guo Bao-Zhu1,2; Wu Tao-Tao1
2017-08-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume30Issue:4Pages:782-802
AbstractThis paper considers optimal feedback control for a general continuous time finite-dimensional deterministic system with finite horizon cost functional. A practically feasible algorithm to calculate the numerical solution of the optimal feedback control by dynamic programming approach is developed. The highlights of this algorithm are: a) It is based on a convergent constructive algorithm for optimal feedback control law which was proposed by the authors before through an approximation for the viscosity solution of the time-space discretization scheme developed by dynamic programming method; b) The computation complexity is significantly reduced since only values of viscosity solution on some local cones around the optimal trajectory are calculated. Two numerical experiments are presented to illustrate the effectiveness and fastness of the algorithm.
KeywordCurse of dimensionality Hamilton-Jacobi-Bellman equation optimal feedback control upwind finite difference viscosity solutions.
DOI10.1007/s11424-017-5149-1
Language英语
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000407482800003
PublisherSPRINGER HEIDELBERG
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/26199
Collection系统科学研究所
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
Recommended Citation
GB/T 7714
Guo Bao-Zhu,Wu Tao-Tao. Numerical Solution to Optimal Feedback Control by Dynamic Programming Approach: A Local Approximation Algorithm[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(4):782-802.
APA Guo Bao-Zhu,&Wu Tao-Tao.(2017).Numerical Solution to Optimal Feedback Control by Dynamic Programming Approach: A Local Approximation Algorithm.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(4),782-802.
MLA Guo Bao-Zhu,et al."Numerical Solution to Optimal Feedback Control by Dynamic Programming Approach: A Local Approximation Algorithm".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.4(2017):782-802.
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