Hamilton-Jacobi-Bellman Equations - Bog

Optimal feedback control arises in different areas such as aerospace engineering, chemical processing, resource economics, etc. In this context, dynamic programming requires the solution of fully nonlinear Hamilton-Jacobi-Bellman equations. This book presents the state of the art in the numerics of such problems using finite elements, semi-Lagrangian schemes, sparse grid and high-dimensional approximation, and model reduction techniques.