322 research outputs found
Discrete Hamilton-Jacobi Theory
We develop a discrete analogue of Hamilton-Jacobi theory in the framework of
discrete Hamiltonian mechanics. The resulting discrete Hamilton-Jacobi equation
is discrete only in time. We describe a discrete analogue of Jacobi's solution
and also prove a discrete version of the geometric Hamilton-Jacobi theorem. The
theory applied to discrete linear Hamiltonian systems yields the discrete
Riccati equation as a special case of the discrete Hamilton-Jacobi equation. We
also apply the theory to discrete optimal control problems, and recover some
well-known results, such as the Bellman equation (discrete-time HJB equation)
of dynamic programming and its relation to the costate variable in the
Pontryagin maximum principle. This relationship between the discrete
Hamilton-Jacobi equation and Bellman equation is exploited to derive a
generalized form of the Bellman equation that has controls at internal stages.Comment: 26 pages, 2 figure
Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations
This paper develops a new framework for designing and analyzing convergent
finite difference methods for approximating both classical and viscosity
solutions of second order fully nonlinear partial differential equations (PDEs)
in 1-D. The goal of the paper is to extend the successful framework of
monotone, consistent, and stable finite difference methods for first order
fully nonlinear Hamilton-Jacobi equations to second order fully nonlinear PDEs
such as Monge-Amp\`ere and Bellman type equations. New concepts of consistency,
generalized monotonicity, and stability are introduced; among them, the
generalized monotonicity and consistency, which are easier to verify in
practice, are natural extensions of the corresponding notions of finite
difference methods for first order fully nonlinear Hamilton-Jacobi equations.
The main component of the proposed framework is the concept of "numerical
operator", and the main idea used to design consistent, monotone and stable
finite difference methods is the concept of "numerical moment". These two new
concepts play the same roles as the "numerical Hamiltonian" and the "numerical
viscosity" play in the finite difference framework for first order fully
nonlinear Hamilton-Jacobi equations. In the paper, two classes of consistent
and monotone finite difference methods are proposed for second order fully
nonlinear PDEs. The first class contains Lax-Friedrichs-like methods which also
are proved to be stable and the second class contains Godunov-like methods.
Numerical results are also presented to gauge the performance of the proposed
finite difference methods and to validate the theoretical results of the paper.Comment: 23 pages, 8 figues, 11 table
Analytical Approximation Methods for the Stabilizing Solution of the HamiltonāJacobi Equation
In this paper, two methods for approximating the stabilizing solution of the HamiltonāJacobi equation are proposed using symplectic geometry and a Hamiltonian perturbation technique as well as stable manifold theory. The first method uses the fact that the Hamiltonian lifted system of an integrable system is also integrable and regards the corresponding Hamiltonian system of the HamiltonāJacobi equation as an integrable Hamiltonian system with a perturbation caused by control. The second method directly approximates the stable flow of the Hamiltonian systems using a modification of stable manifold theory. Both methods provide analytical approximations of the stable Lagrangian submanifold from which the stabilizing solution is derived. Two examples illustrate the effectiveness of the methods.
Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations
This paper develops a new framework for designing and analyzing convergent finite difference methods for approximating both classical and viscosity solutions of second order fully nonlinear partial differential equations (PDEs) in 1-D. The goal of the paper is to extend the successful framework of monotone, consistent, and stable finite difference methods for first order fully nonlinear HamiltonāJacobi equations to second order fully nonlinear PDEs such as MongeāAmpĆØre and Bellman type equations. New concepts of consistency, generalized monotonicity, and stability are introduced; among them, the generalized monotonicity and consistency, which are easier to verify in practice, are natural extensions of the corresponding notions of finite difference methods for first order fully nonlinear HamiltonāJacobi equations. The main component of the proposed framework is the concept of a ānumerical operatorā, and the main idea used to design consistent, generalized monotone and stable finite difference methods is the concept of a ānumerical momentā. These two new concepts play the same roles the ānumerical Hamiltonianā and the ānumerical viscosityā play in the finite difference framework for first order fully nonlinear HamiltonāJacobi equations. In the paper, two classes of consistent and monotone finite difference methods are proposed for second order fully nonlinear PDEs. The first class contains LaxāFriedrichs-like methods which also are proved to be stable, and the second class contains Godunov-like methods. Numerical results are also presented to gauge the performance of the proposed finite difference methods and to validate the theoretical results of the paper
Polynomial approximation of high-dimensional HamiltonāJacobiāBellman equations and applications to feedback control of semilinear parabolic PDES
Ā© 2018 Society for Industrial and Applied Mathematics. A procedure for the numerical approximation of high-dimensional HamiltonāJacobiāBellman (HJB) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed. Its main ingredients are a pseudospectral collocation approximation of the PDE dynamics and an iterative method for the nonlinear HJB equation associated to the feedback synthesis. The latter is known as the successive Galerkin approximation. It can also be interpreted as Newton iteration for the HJB equation. At every step, the associated linear generalized HJB equation is approximated via a separable polynomial approximation ansatz. Stabilizing feedback controls are obtained from solutions to the HJB equations for systems of dimension up to fourteen
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