Estimate for the Accuracy of a Backward Procedure for the Hamilton—Jacobi Equation in an Infinite-Horizon Optimal Control Problem


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Abstract

We consider an infinite-horizon optimal control problem with an integral objective functional containing a discount factor in the integrand. A specific feature of the problem is the assumption that the integrand may be unbounded. The main result of the paper is an estimate of the approximation accuracy in a backward procedure for solving the Hamilton-Jacobi equation corresponding to the optimal control problem.

About the authors

A. L. Bagno

Ural Federal University named after the First President of Russia B. N. Yeltsin

Author for correspondence.
Email: bagno.alexander@gmail.com
Russian Federation, ul. Mira 19, Yekaterinburg, 620002

A. M. Tarasyev

Ural Federal University named after the First President of Russia B. N. Yeltsin; N. N. Krasovskii Institute of Mathematics and Mechanics

Author for correspondence.
Email: tam@imm.uran.ru
Russian Federation, ul. Mira 19, Yekaterinburg, 620002; ul. S. Kovalevskoi 16, Yekaterinburg, 620990

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