Discretization Based Convergence Results for Euler Approximations of Bang-Bang Controls
نویسنده
چکیده
We consider Euler discretizations to a class of linear-quadratic optimal control problems. Assuming that the discrete controls are of bang-bang type and define switching functions with a uniform structure independent of the discretization we show, that the discrete controls converge to a bang-bang control, which is a solution of the original problem.
منابع مشابه
Error Bounds for Euler Approximation of Linear-quadratic Control Problems with Bang-bang Solutions
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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