On quadratic approximations for Hamilton–Jacobi–Bellman equations

• Yumiharu Nakano ^[1]
  1. [1] Tokyo Institute of Technology

     Tokyo Institute of Technology

     Japón

     
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Vol. 66, 2016, págs. 205-217
• Idioma: inglés
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• Resumen

  • We study simple quadratic approximations for general Hamilton–Jacobi–Bellman equations. The theoretical error bounds are shown to be composed of the time discretization errors and quadratic approximation ones at each time step. Several numerical experiments show that the quadratic approximations work for the equations with the boundary and Hamiltonian well approximated by the quadratic functions.