We propose an algorithm that produces a nondecreasing sequence of subsolutions for a class of optimal control problems distinguished by the property that the associated Bellman operators preserve convexity. In addition to a theoretical discussion and proofs of convergence, numerical experiments are presented to illustrate the feasibility of the method.
An algorithm to construct subsolutions of convex optimal control problems
Fischer Markus
2022
Abstract
We propose an algorithm that produces a nondecreasing sequence of subsolutions for a class of optimal control problems distinguished by the property that the associated Bellman operators preserve convexity. In addition to a theoretical discussion and proofs of convergence, numerical experiments are presented to illustrate the feasibility of the method.
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