Numerical procedure to approximate a singular optimal control problem
CONICET – Dpto. Matemática, FCEIA, Universidad Nacional de
Rosario, Rosario, Argentine. email@example.com
Revised: 2 January 2007
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.
Mathematics Subject Classification: 49L20 / 49L99 / 93C15 / 65L70
Key words: Multiple solutions / eikonal equation / singular optimal control problems / penalization methods / numerical approximation.
© EDP Sciences, SMAI, 2007