An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems
Artikel i vetenskaplig tidskrift, 2015

This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function. It concerns symplectic Euler solutions of the Hamiltonian system connected with the optimal control problem. The error representation has a leading-order term consisting of an error density that is computable from symplectic Euler solutions. Under an assumption of the pathwise convergence of the approximate dual function as the maximum time step goes to zero, we prove that the remainder is of higher order than the leading-error density part in the error representation. With the error representation, it is possible to perform adaptive time stepping. We apply an adaptive algorithm originally developed for ordinary differential equations. The performance is illustrated by numerical tests.

adaptivity

error control

optimal control

error estimates

Författare

J. Karlsson

King Abdullah University of Science and Technology (KAUST)

Dynamore Nordic Ab

Stig Larsson

Chalmers, Matematiska vetenskaper, Matematik

Göteborgs universitet

M. Sandberg

Kungliga Tekniska Högskolan (KTH)

A. Szepessy

Kungliga Tekniska Högskolan (KTH)

R. Tempone

King Abdullah University of Science and Technology (KAUST)

SIAM Journal of Scientific Computing

1064-8275 (ISSN) 1095-7197 (eISSN)

Vol. 37 2 A946-A969

Ämneskategorier

Beräkningsmatematik

DOI

10.1137/140959481