Congress detail

Authors: E.A. Philipp; L.S. Aragone; L.A. Parente.

Resumen: We present a numerical scheme to approximate the value function of the monotone control problem, i.e., an optimal control problem where the controls are constrained to be nondecreasing functions. It is well known from literature that the associated Hamilton-Jacobi-Bellman (HJB) equation is a quasy-variational inequality and the value function is its unique viscosity solution. We consider a fully discrete scheme by using the finite element method to approximate the state space. The obtained problem is equivalent to the resolution of a sequence of fixed point problems. The monotonicity and an appropriate choice of the parameters involved allow to obtain good convergence properties without the classical semiconcavity hypotheses on the problem data. We discuss implementation issues, including some acceleration techniques, and show numerical examples.

Meeting type: Workshop.

Production: A numerical procedure for the monotone control problem.

Scientific meeting: IV Latin american Workshop on Optimization and Control.

Meeting place: Lima.

Organizing Institution: Instituto de Matemática y Ciencias Afines - Universidad del Pacífico.

It's published?: No

Meeting month: 7

Year: 2014.