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dc.contributor.authorHartono
dc.contributor.authorJennings, S.
dc.contributor.authorWang, Song
dc.date.accessioned2017-01-30T11:50:39Z
dc.date.available2017-01-30T11:50:39Z
dc.date.created2016-06-21T19:30:16Z
dc.date.issued2016
dc.identifier.citationHartono 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.urihttp://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.publisherYokohama Publishers
dc.relation.urihttp://www.ybook.co.jp/online2/pjov12-2.html
dc.titleIterative upwind finite difference method with completed richardson extrapolation for state-constrained HJB equations
dc.typeJournal Article
dcterms.source.volume12
dcterms.source.number2
dcterms.source.startPage379
dcterms.source.endPage397
dcterms.source.issn1348-9151
dcterms.source.titlePacific Journal of Optimization
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusFulltext not available


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