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Original Articles

Numerical results for a product formula approximation of Hamilton-Jacobi equations

Pages 75-82 | Received 12 Jul 1994, Published online: 19 Mar 2007
 

Abstract

The numerical approximation of the Hamilton-Jacobi equation associated to an optimal control problem is considered by use of a fractional steps method for decoupling it. The mathematical results concerning this approximation scheme ar£ presented. Numerical algorithms with different variants are developed for ID and 2D problems to compute (sub)optimal feedback controls. Numerical tests are presented showing that this approximation method yields a numerically workable procedure to solve Hamilton-Jacobi equations.

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