Extended Applicability of the Symplectic Pontryagin Method

Details Extended Applicability of the Symplectic Pontryagin Method Extended Applicability of the Symplectic Pontryagin Method

2009-01-29

arxiv.org/abs/0901.4805v1

Mathematics

Numerical Analysis

19 pages, 1 figure

Scientific paper

The Symplectic Pontryagin method was introduced in a previous paper. This work shows that this method is applicable under less restrictive assumptions. Existence of solutions to the Symplectic Pontryagin scheme are shown to exist without the previous assumption on a bounded gradient of the discrete dual variable. The convergence proof uses the representation of solutions to a Hamilton-Jacobi-Bellman equation as the value function of an associated variation problem.

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