Related papers: Optimal bounds for numerical approximations of inf…
We describe an approximate dynamic programming approach to compute lower bounds on the optimal value function for a discrete time, continuous space, infinite horizon setting. The approach iteratively constructs a family of lower bounding…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
This paper is concerned with finite element error estimates for Neumann boundary control problems posed on convex and polyhedral domains. Different discretization concepts are considered and for each optimal discretization error estimates…
We derive an a priori error estimate for the numerical solution obtained by time and space discretization by the finite volume/finite element method of the barotropic Navier--Stokes equations. The numerical solution on a convenient…
This work is concerned with the development of a space-time adaptive numerical method, based on a rigorous a posteriori error bound, for a semilinear convection-diffusion problem which may exhibit blow-up in finite time. More specifically,…
In this study, we consider the infinite-horizon, discounted cost, optimal control of stochastic nonlinear systems with separable cost and constraints in the state and input variables. Using the linear-time Legendre transform, we propose a…
We obtain necessary optimality conditions for higher-order infinite horizon problems of the calculus of variations via discrete quantum operators.
We prove an optimal order error bound in the discrete $H^2(\Omega)$ norm for finite difference approximations of the first boundary-value problem for the biharmonic equation in $n$ space dimensions, with $n \in \{2,\dots,7\}$, whose…
It is well known that time dependent Hamilton-Jacobi-Isaacs partial differential equations (HJ PDE), play an important role in analyzing continuous dynamic games and control theory problems. An important tool for such problems when they…
This work aims to construct an efficient and highly accurate numerical method to address the time singularity at $t=0$ involved in a class of time-fractional parabolic integro-partial differential equations in one and two dimensions. The…
We introduce a novel type of approximation spaces for functions with values in a nonlinear manifold. The discrete functions are constructed by piecewise polynomial interpolation in a Euclidean embedding space, and then projecting pointwise…
This paper is concerned with monotone (time-explicit) finite difference schemes associated with first order Hamilton-Jacobi equations posed on a junction. They extend the schemes recently introduced by Costeseque, Lebacque and Monneau…
We discretize a cost functional for image registration problems by deriving Taylor expansions for the matching term. Minima of the discretized cost functionals can be computed with no spatial discretization error, and the optimal solutions…
We consider a simple initial-boundary-value problem for the shallow water equations in one space dimension, and also the analogous problem for a symmetric variant of the system. Assuming smoothness of solutions, we discretize these problems…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
The numerical realization of the dynamic programming principle for continuous-time optimal control leads to nonlinear Hamilton-Jacobi-Bellman equations which require the minimization of a nonlinear mapping over the set of admissible…
We discretize a risk-neutral optimal control problem governed by a linear elliptic partial differential equation with random inputs using a Monte Carlo sample-based approximation and a finite element discretization, yielding finite…
We investigate the properties of the simultaneous projection method as applied to countably infinitely many closed and linear subspaces of a real Hilbert space. We establish the optimal error bound for linear convergence of this method,…
We present improved $L^2$-error estimates on the time-integrated primal variable for the wave equation in its first-order formulation. The space discretization relies on a hybrid nonconforming method, such as the hybridizable discontinuous…