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23 January 2025 |
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Article overview
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Policy iteration for the deterministic control problems -- a viscosity approach | | Wenpin Tang
; Hung Vinh Tran
; Yuming Paul Zhang
; | | Date: |
1 Jan 2023 | | Abstract: | This paper is concerned with the convergence rate of policy iteration for
(deterministic) optimal control problems in continuous time. To overcome the
problem of ill-posedness due to lack of regularity, we consider a semi-discrete
scheme by adding a viscosity term via finite differences in space. We prove
that PI for the semi-discrete scheme converges exponentially fast, and provide
a bound on the error induced by the semi-discrete scheme. We also consider the
discrete space-time scheme, where both space and time are discretized.
Convergence rate of PI and the discretization error are studied. | | Source: | arXiv, 2301.00419 | | Services: | Forum | Review | PDF | Favorites | |
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