Mathematics – Optimization and Control
Scientific paper
2004-04-08
Proceedings of the Sixteenth International Symposium on Mathematical Theory of Networks and Systems (MTNS2004), Louvain, Belgi
Mathematics
Optimization and Control
13 pages, 5 figures
Scientific paper
We introduce a max-plus analogue of the Petrov-Galerkin finite element method, to solve finite horizon deterministic optimal control problems. The method relies on a max-plus variational formulation, and exploits the properties of projectors on max-plus semimodules. We obtain a nonlinear discretized semigroup, corresponding to a zero-sum two players game. We give an error estimate of order $(\Delta t)^{1/2}+\Delta x(\Delta t)^{-1}$, for a subclass of problems in dimension 1. We compare our method with a max-plus based discretization method previously introduced by Fleming and McEneaney.
Akian Marianne
Gaubert Stephane
Lakhoua Asma
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