Title :
Convergence Properties of the Newton-Kantorovich Iteration for the Hamilton-Jacobi-Bellman Equation
Author :
Kravaris, Costas ; Mousavere, Dimitra
Author_Institution :
Department of Chemical Engineering, University of Patras, 26500 Patras, Greece. phone: +30 2610 996339; fax: +30 2610 993070; e-mail: kravaris@chemeng.upatras.gr.
Abstract :
This work applies Kantorovich´s method to construct an iterative algorithm for the solution of the Hamilton-Jacobi-Bellman equation. At each step of the iteration, a Zubov partial differential equation is solved. Convergence properties of the algorithm are developed independently of Kantorovich´s theorem. The results are illustrated in a numerical example.
Keywords :
Aerospace engineering; Convergence; Iterative algorithms; Nonlinear equations; Optimal control; Partial differential equations; Performance analysis; Power engineering computing; Power generation; State feedback;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1582706
