Convergence of an Upwind Finite-Difference Scheme for Hamilton-Jacobi-Bellman Equation in Optimal Control.
Bing SunBao-Zhu GuoPublished in: IEEE Trans. Autom. Control. (2015)
Keyphrases
- finite difference
- hamilton jacobi bellman
- optimal control
- hamilton jacobi
- finite element
- control problems
- numerical solution
- numerical analysis
- partial differential equations
- dynamic programming
- stochastic control
- infinite horizon
- brownian motion
- control strategy
- reinforcement learning
- control law
- diffusion equation
- level set
- convergence rate
- nonlinear systems
- image processing
- image denoising