International Journal of applied mathematics and computer science

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Paper details

Number 2 - June 2005
Volume 15 - 2005

A method for constructing ε-value functions for the Bolza problem of optimal control

Jan Pustelnik

The problem considered is that of approximate minimisation of the Bolza problem of optimal control. Starting from Bellman's method of dynamic programming, we define the ε-value function to be an approximation to the value function being a solution to the Hamilton-Jacobi equation. The paper shows an approach that can be used to construct an algorithm for calculating the values of an ε-value function at given points, thus approximating the respective values of the value function.

non-linear optimisation, Bolza problem, optimal control, Hamilton-Jacobi equation, dynamic programming,