P. Cardaliaguet, M. Quincampoix & P. Saint-Pierre
Title:
" Numerical Schemes for
Discontinuous value functions
of Optimal Control.
"
Abstract:
In this paper we explain that various
(possibly discontinuous) Value Functions for optimal
control problem under state-constraints can be approached by a sequence of Value
Functions for
for suitable discretized systems.
The key-point of this approch is the characterization of epigraphs of the
value-functions as suitable viability kernels.
We provide new results for estimation of the convergence rate of
numerical schemes and discuss
conditions for the convergence of discrete optimal
controls to the optimal control for the initial problem.
Sommaire