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arXiv · 1207.4232

The patchy Method for the Infinite Horizon Hamilton-Jacobi-Bellman Equation and its Accuracy

Thomas Hunt·Arthur J. Krener
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Abstract

We introduce a modification to the patchy method of Navasca and Krener for solving the stationary Hamilton Jacobi Bellman equation. The numerical solution that we generate is a set of polynomials that approximate the optimal cost and optimal control on a partition of the state space. We derive an error bound for our numerical method under the assumption that the optimal cost is a smooth strict Lyupanov function. The error bound is valid when the number of subsets in the partition is not too large.

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Thomas Hunt, Arthur J. Krener. 2012-07-17. The patchy Method for the Infinite Horizon Hamilton-Jacobi-Bellman Equation and its Accuracy. https://arxiv.org/abs/1207.4232

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