Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations
dc.contributor.author | Hartono | |
dc.contributor.author | Jennings, S. | |
dc.contributor.author | Wang, Song | |
dc.date.accessioned | 2017-01-30T11:50:39Z | |
dc.date.available | 2017-01-30T11:50:39Z | |
dc.date.created | 2016-06-21T19:30:16Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Hartono and Jennings, S. and Wang, S. 2016. Iterative upwind finite difference method with completed Richardson extrapolation for state-constrained HJB equations. Pacific Journal of Optimization. 12 (2): pp. 379-397. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/15583 | |
dc.description.abstract |
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 algorithm for computational domain reduction and a completed Richardson extrapolation technique to improve the accuracy of numerical solutions from the method. Numerical results will be presented to demonstrate the accuracy and efficiency of the method. | |
dc.publisher | Yokohama Publishers | |
dc.relation.uri | http://www.ybook.co.jp/online2/pjov12-2.html | |
dc.title | Iterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations | |
dc.type | Journal Article | |
dcterms.source.volume | 12 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 379 | |
dcterms.source.endPage | 397 | |
dcterms.source.issn | 1348-9151 | |
dcterms.source.title | Pacific Journal of Optimization | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Fulltext not available |
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