Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations

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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...

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Bibliographic Details
Main Authors:	Hartono, Jennings, S., Wang, Song
Format:	Journal Article
Published:	Yokohama Publishers 2016
Online Access:	http://www.ybook.co.jp/online2/pjov12-2.html http://hdl.handle.net/20.500.11937/15583

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