Approximate gradient projection method with general Runge-Kutta schemes and piecewise polynomial controls for optimal control problems
Approximate maximum principle for discrete approximations of optimal control systems with nonsmooth objectives and endpoint constraints
The paper studies discrete/finite-difference approximations of optimal control problems governed by continuous-time dynamical systems with endpoint constraints. Finite-difference systems, considered as parametric control problems with the decreasing step of discretization, occupy an intermediate position between continuous-time and discrete-time (with fixed steps) control processes and play a significant role in both qualitative and numerical aspects of optimal control. In this paper we derive an...
Approximation numérique des équations Hamilton-Jacobi-Bellman
Approximation of maximal Cheeger sets by projection
This article deals with the numerical computation of the Cheeger constant and the approximation of the maximal Cheeger set of a given subset of . This problem is motivated by landslide modelling as well as by the continuous maximal flow problem. Using the fact that the maximal Cheeger set can be approximated by solving a rather simple projection problem, we propose a numerical strategy to compute maximal Cheeger sets and Cheeger constants.
Approximation of maximal Cheeger sets by projection
This article deals with the numerical computation of the Cheeger constant and the approximation of the maximal Cheeger set of a given subset of . This problem is motivated by landslide modelling as well as by the continuous maximal flow problem. Using the fact that the maximal Cheeger set can be approximated by solving a rather simple projection problem, we propose a numerical strategy to compute maximal Cheeger sets and Cheeger constants.
Approximation of the Snell envelope and american options prices in dimension one
We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.
Approximation of the Snell Envelope and American Options Prices in dimension one
We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.