On deterministic control problems: An approximation procedure for the optimal cost. II. The nonstationary case. (English) Zbl 0563.49025

[For part I see the paper reviewed above.]
This paper is the second part of a work devoted to the numerical approximation of optimal deterministic control problems. Here, finite horizon problems with optimal stopping and imulse controls are studied. The idea of The method is to use the characterization of the value function as the maximum subsolution of the associated Bellman equation. The method is also applied to a model of energy production management.
Reviewer: P.L.Lions


49M20 Numerical methods of relaxation type
49L20 Dynamic programming in optimal control and differential games
49K15 Optimality conditions for problems involving ordinary differential equations
60G40 Stopping times; optimal stopping problems; gambling theory
49K30 Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)
90C39 Dynamic programming
49M15 Newton-type methods
65K10 Numerical optimization and variational techniques
93C15 Control/observation systems governed by ordinary differential equations
93C99 Model systems in control theory


Zbl 0563.49024
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