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

Gonzalez, R.; Rofman, E.

SIAM J. Control Optimization 23, 267-285 (1985).

[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

MSC:

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

Keywords:

optimal deterministic control; finite horizon; optimal stopping; imulse controls; Bellman equation

Citations:

Zbl 0563.49024