Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations.
Olivier BokanowskiAthena PicarelliChristoph ReisingerPublished in: Numerische Mathematik (2021)
Keyphrases
- hamilton jacobi bellman
- optimal control
- control problems
- nonlinear systems
- stochastic control
- hamilton jacobi
- approximate dynamic programming
- dynamical systems
- reinforcement learning
- high order
- adaptive control
- finite difference
- convergence rate
- dynamic programming
- queueing systems
- mathematical model
- numerical solution
- convergence speed
- linear programming