CIFASIS 20631
CENTRO INTERNACIONAL FRANCO ARGENTINO DE CIENCIAS DE LA INFORMACION Y DE SISTEMAS
Unidad Ejecutora - UE
congresos y reuniones científicas
Título:
Numerical solutions of optimal control problems with monotone controls
Autor/es:
ARAGONE, L; MANCINELLI, E.; PHILIPP, E.
Lugar:
Rosario
Reunión:
Congreso; ITLA 2012; 2012
Institución organizadora:
Universidad Austral
Resumen:
We study the Hamilton-Jacobi-Bellman (HJB) equation arising in an optimal control problem within nite horizon and monotone controls. This kind of restriction over the controls nds its application inproblems where not renewable resources are to be controlled. The value function is the unique viscositysolution of the HJB equation.The numerical solution is considered through the discretization in time (in nite di erences) de ninga stable and consistent scheme. We prove that the convergence in this problem has order , where isthe Holder constant of the value function, in contrast to the 2 order valid for the general optimal controlproblems. This di erence is obtained mainly due to the precise and simple way the monotone controls canbe approximated
