An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems
نویسندگان
چکیده
منابع مشابه
An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems
This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function. It concerns symplectic Euler solutions of the Hamiltonian system connected with the optimal control problem. The error representation has a leading-order term consisting of an error density that is computable from sym...
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We analyze the Euler discretization to a class of linear-quadratic optimal control problems. First we show convergence of order h for the optimal values, where h is the mesh size. Under the additional assumption that the optimal control has bang-bang structure we show that the discrete and the continuous controls coincide except on a set of measure O( √ h). Under a slightly stronger assumption ...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2015
ISSN: 1064-8275,1095-7197
DOI: 10.1137/140959481