Congress detail

Authors: Aragone, L; Mancinelli, E.; Philipp, E.

Resumen: We study the Hamilton-Jacobi-Bellman (HJB) equation arising in an optimal control problem withinnite horizon and monotone controls. This kind of restriction over the controls nds its application inproblems where not renewable resources are to be controlled. The value function is the unique viscositysolution of the HJB equation.The numerical solution is considered through the discretization in time (in nite diu000berences) deninga stable and consistent scheme. We prove that the convergence in this problem has order , where isthe Holder constant of the value function, in contrast to the 2 order valid for the general optimal controlproblems. This diu000berence is obtained mainly due to the precise and simple way the monotone controls canbe approximated.

Meeting type: Congreso.

Production: Numerical solutions of optimal control problems with monotone controls.

Scientific meeting: ITLA 2012.

Meeting place: Rosario.

Organizing Institution: Universidad Austral.

It's published?: No

Meeting month: 12

Year: 2012.