Approximate solutions of the bellman equation of deterministic control theory

I. Capuzzo Dolcetta*, H. Ishii

*この研究の対応する著者

研究成果: Article査読

101 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)161-181
ページ数21
ジャーナルApplied Mathematics & Optimization
11
1
DOI
出版ステータスPublished - 1984 2
外部発表はい

ASJC Scopus subject areas

  • 応用数学
  • 数学 (全般)

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