The viscosity approximation to the Hamilton-Jacobi-Bellman equation in optimal feedback control: Upper bounds for extended domains
American Institute of Mathematical Sciences
Computing, Health and Science
A number of numerical methods for solving optimal feedback control problems are based on the viscosity approximation to the Hamilton-Jacobi- Bellman (HJB) equation, with artificial boundary conditions defined on an extended domain. An upper bound for this extended domain is established, ensuring that the approximate solution converges to the viscosity solution of the HJB equation on some pre-defined domain of interest
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