Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations

被引：7

作者：

Bauer, Florian

Gruene, Lars ^{[1
]}

Semmler, Willi

机构：

[1] Univ Bayreuth, Math Inst, POB 101251, D-95440 Bayreuth, Germany

[2] Ctr Empir Macroecon, Bielefeld, Germany

[3] New Sch Univ, New York, NY USA

来源：

APPLIED NUMERICAL MATHEMATICS | 2006年 / 56卷 / 09期

关键词：

Hamilton-Jacobi-Bellman equation; viscosity solution; optimal control; adaptive discretization; spline interpolation;

D O I：

10.1016/j.apnum.2006.03.011

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the performace of adaptive spline interpolation in semi-Lagrangian discretization schemes for Hamilton-Jacobi-Bellman equations. We investigate the local approximation properties of cubic splines on locally refined grids by a theoretical analysis. Numerical examples show how this method performs in practice. Using those examples we also illustrate numerical stability issues. (c) 2006 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：1196 / 1210

页数：15

共 29 条

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[Anonymous], 1997, Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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