Title :
A monotonic algorithm for the optimal control of the Fokker-Planck equation
Author :
Carlier, Guillaume ; Salomon, Julien
Author_Institution :
CEREMADE, Univ. Paris IX Dauphine, Paris, France
Abstract :
Motivated by some crowd motion models in the presence of noise, we consider an optimal control problem governed by the Fokker-Planck equation. We sketch optimality conditions by means of an Hamilton-Jacobi-Bellman equation and we give a monotonic scheme for the numerical approximation of the solution.
Keywords :
Fokker-Planck equation; differential equations; optimal control; Fokker-Planck equation; Hamilton-Jacobi-Bellman equation; crowd motion models; monotonic algorithm; optimal control; Cost function; Differential equations; Integral equations; Kinetic energy; Lagrangian functions; Motion control; Optimal control; Stochastic processes; Transportation;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4738915
