Abstract
We present a numerical algorithm for solving the Hamilton-Jacobi Bellman equation using a successive Galerkin-wavelet projection scheme. According to this scheme, the so-called Generalized-Hamilton-Jacobi-Bellman (GHJB) equation is solved iteratively starting from a stabilizing solution. As basis function for the Galerkin projections we consider the antiderivatives of the well-known Daubechies' wavelets. Wavelets offer several advantages over traditional bases functions such as time-frequency localization and compact support. A numerical example illustrates the proposed approach.
| Original language | English |
|---|---|
| Pages (from-to) | 1926-1931 |
| Number of pages | 6 |
| Journal | Proceedings of the American Control Conference |
| Volume | 3 |
| Publication status | Published - 2003 |
| Event | 2003 American Control Conference - Denver, CO, United States Duration: 2003 Jun 4 → 2003 Jun 6 |
All Science Journal Classification (ASJC) codes
- Electrical and Electronic Engineering