Numerical procedure to approximate a singular optimal control problem
Silvia C. Di Marco, Roberto L. V. González · ESAIM Mathematical Modelling and Numerical Analysis · 2007
In this work we deal with the numerical solution of a Hamilton-Jacobi-Bellman (HJB) equation with infinitely many solutions. To compute the maximal solution – the optimal cost of the original optimal control problem – we present a complete discrete method based on the use of some finite elements and penalization techniques.