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Numerical procedure to approximate a singular optimal control problem

Published online by Cambridge University Press:  02 August 2007

Silvia C. Di Marco  and
Roberto L.V. González
Silvia C. Di Marco
Affiliation:
CONICET – Dpto. Matemática, FCEIA, Universidad Nacional de Rosario, Rosario, Argentine. dimarco@fceia.unr.edu.ar
Roberto L.V. González
Affiliation:
CONICET – Dpto. Matemática, FCEIA, Universidad Nacional de Rosario, Rosario, Argentine. dimarco@fceia.unr.edu.ar
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Abstract

In this work we deal with the numerical solution of aHamilton-Jacobi-Bellman (HJB) equation with infinitely manysolutions. To compute the maximal solution – the optimalcost of the original optimal control problem – we present acomplete discrete method based on the use of some finite elementsand penalization techniques.

Keywords

Multiple solutionseikonal equationsingular optimal control problemspenalization methodsnumericalapproximation.
Type
Research Article
Information
ESAIM: Mathematical Modelling and Numerical Analysis , Volume 41 , Issue 3 , May 2007 , pp. 461 - 484
Copyright
© EDP Sciences, SMAI, 2007

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