Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations
In this work, we develop an iterative method in conjunction with an upwind finite difference discretization scheme for solving a Hamilton-Jacobi-Bellman (HJB) equation governing a class of state constrained optimal feedback control problems. We prove that the method is stable. We also propose an alg...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Yokohama Publishers
2016
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| Online Access: | http://www.ybook.co.jp/online2/pjov12-2.html http://hdl.handle.net/20.500.11937/15583 |
| _version_ | 1848748932517068800 |
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| author | Hartono Jennings, S. Wang, Song |
| author_facet | Hartono Jennings, S. Wang, Song |
| author_sort | Hartono |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this work, we develop an iterative method in conjunction with an upwind finite difference discretization scheme for solving a Hamilton-Jacobi-Bellman (HJB) equation governing a class of state constrained optimal feedback control problems. We prove that the method is stable. We also propose an algorithm for computational domain reduction and a completed Richardson extrapolation technique to improve the accuracy of numerical solutions from the method. Numerical results will be presented to demonstrate the accuracy and efficiency of the method. |
| first_indexed | 2025-11-14T07:12:54Z |
| format | Journal Article |
| id | curtin-20.500.11937-15583 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:12:54Z |
| publishDate | 2016 |
| publisher | Yokohama Publishers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-155832017-01-30T11:50:39Z Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations Hartono Jennings, S. Wang, Song In this work, we develop an iterative method in conjunction with an upwind finite difference discretization scheme for solving a Hamilton-Jacobi-Bellman (HJB) equation governing a class of state constrained optimal feedback control problems. We prove that the method is stable. We also propose an algorithm for computational domain reduction and a completed Richardson extrapolation technique to improve the accuracy of numerical solutions from the method. Numerical results will be presented to demonstrate the accuracy and efficiency of the method. 2016 Journal Article http://hdl.handle.net/20.500.11937/15583 http://www.ybook.co.jp/online2/pjov12-2.html Yokohama Publishers restricted |
| spellingShingle | Hartono Jennings, S. Wang, Song Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title_full | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title_fullStr | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title_full_unstemmed | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title_short | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations |
| title_sort | iterative upwind finite difference method with completed richardson extrapolation for state-constrained hjb equations |
| url | http://www.ybook.co.jp/online2/pjov12-2.html http://hdl.handle.net/20.500.11937/15583 |