A Novel Method to Solve a Class of Distributed Optimal Control Problems Using Bezier Curves

Author(s):  
Majid Darehmiraki ◽  
Mohammad Hadi Farahi ◽  
Sohrab Effati

In this paper, two approaches are used to solve a class of the distributed optimal control problems defined on rectangular domains. In the first approach, a meshless method for solving the distributed optimal control problems is proposed; this method is based on separable representation of state and control functions. The approximation process is done in two fundamental stages. First, the partial differential equation (PDE) constraint is transformed to an algebraic system by weighted residual method, and then, Bezier curves are used to approximate the action of control and state. In the second approach, the Bernstein polynomials together with Galerkin method are utilized to solve partial differential equation coupled system, which is a necessary and sufficient condition for the main problem. The proposed techniques are easy to implement, efficient, and yield accurate results. Numerical examples are provided to illustrate the flexibility and efficiency of the proposed method.

Author(s):  
Christelle Dleuna Nyoumbi ◽  
Antoine Tambue

AbstractStochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical algorithms are the only tools to provide accurate approximations. The aims of this paper is to introduce a novel fitted finite volume method to solve high dimensional degenerated HJB equation from stochastic optimal control problems in high dimension ($$ n\ge 3$$ n ≥ 3 ). The challenge here is due to the nature of our HJB equation which is a degenerated second-order partial differential equation coupled with an optimization problem. For such problems, standard scheme such as finite difference method losses its monotonicity and therefore the convergence toward the viscosity solution may not be guarantee. We discretize the HJB equation using the fitted finite volume method, well known to tackle degenerated PDEs, while the time discretisation is performed using the Implicit Euler scheme.. We show that matrices resulting from spatial discretization and temporal discretization are M-matrices. Numerical results in finance demonstrating the accuracy of the proposed numerical method comparing to the standard finite difference method are provided.


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