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.
|Number of pages||6|
|Journal||Proceedings of the American Control Conference|
|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