We consider an infinite horizon discounted optimal control problem and its time discretized approximation, and study the rate of convergence of the approximate solutions to the value function of the original problem. In particular we prove the rate is of order 1 as the discretization step tends to zero, provided a semiconcavity assumption is satisfied. We also characterize the limit of the optimal controls for the approximate problems within the framework of the theory of relaxed controls.
ASJC Scopus subject areas
- Applied Mathematics