Convergence Rate for a Curse-of-Dimensionality-Free Method for a Class of HJB PDEs

• Main Authors: Kluberg, Lionel J. (Contributor), McEneaney, William M. (Author)
• Other Authors: Massachusetts Institute of Technology. Operations Research Center (Contributor)
• Format: Article
• Language: English
• Published: Society for Industrial and Applied Mathematics, 2010-09-03T16:13:37Z.
• Subjects: Article
• Online Access: Get fulltext

 In previous work of the first author and others, max-plus methods have been explored for solution of first-order, nonlinear Hamilton-Jacobi-Bellman partial differential equations (HJB PDEs) and corresponding nonlinear control problems. Although max-plus basis expansion and max-plus finite-element methods can provide substantial computational-speed advantages, they still generally suffer from the curse-of-dimensionality. Here we consider HJB PDEs where the Hamiltonian takes the form of a (pointwise) maximum of linear/quadratic forms. The approach to solution will be rather general, but in order to ground the work, we consider only constituent Hamiltonians corresponding to long-run average-cost-per-unit-time optimal control problems for the development. We consider a previously obtained numerical method not subject to the curse-of-dimensionality. The method is based on construction of the dual-space semigroup corresponding to the HJB PDE. This dual-space semigroup is constructed from the dual-space semigroups corresponding to the constituent linear/quadratic Hamiltonians. The dual-space semigroup is particularly useful due to its form as a max-plus integral operator with kernel obtained from the originating semigroup. One considers repeated application of the dual-space semigroup to obtain the solution. Although previous work indicated that the method was not subject to the curse-of-dimensionality, it did not indicate any error bounds or convergence rate. Here we obtain specific error bounds.