A computational approach to optimal control problems subject to mixed control-state constraints

In this paper, we study a computational approach to Hamilton-Jacobi-Bellman (HJB) equation for singular optimal control subject to mixed control-state constraints. A nonlinear diffusion equation is presented for the viscosity approximation to a partial differential equation by rewriting HJB equation...

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Bibliographic Details
Published inInternational journal of control Vol. 96; no. 1; pp. 41 - 47
Main Author Zhu, Jinghao
Format Journal Article
LanguageEnglish
Published Abingdon Taylor & Francis 02.01.2023
Taylor & Francis Ltd
Subjects
Approximation
convection-diffusion equation
differential-algebraic equation
extremal flow
Hamilton-Jacobi-Bellman equation
Optimal control
Partial differential equations
singular optimal control
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ISSN0020-7179
1366-5820
DOI10.1080/00207179.2021.1978556

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Summary:In this paper, we study a computational approach to Hamilton-Jacobi-Bellman (HJB) equation for singular optimal control subject to mixed control-state constraints. A nonlinear diffusion equation is presented for the viscosity approximation to a partial differential equation by rewriting HJB equation. We construct a so called extremal flow for approximating the optimal objective value of the singular optimal control problem by a differential-algebraic equation. Some examples are given to illustrate this computational approach.
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content type line 14
ISSN:0020-7179
1366-5820
DOI:10.1080/00207179.2021.1978556