Numerical Procedure to Approximate a Singular Optimal Control Problem
نویسندگان
چکیده
In this work we deal with the numerical solution of a Hamilton-Jacobi-Bellman (HJB) equation with infinitely many solutions. To compute the maximal solution – the optimal cost of the original optimal control problem – we present a complete discrete method based on the use of some finite elements and penalization techniques. Mathematics Subject Classification. 49L20, 49L99, 93C15, 65L70. Received December 14, 2005. Revised January 2, 2007.
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