Numerical procedure to approximate a singular optimal control problem
Silvia C. Di Marco, Roberto L.V. González (2007)
ESAIM: Mathematical Modelling and Numerical Analysis
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In this work we deal with the numerical solution of a Hamilton-Jacobi-Bellman (HJB) equation with infinitely many solutions. To compute the maximal solution – the optimal cost of the original optimal control problem – we present a complete discrete method based on the use of some finite elements and penalization techniques.