Computing Aumann's Integral
Robert Baier, Frank Lempio · ERef Bayreuth (University of Bayreuth) · 1994
Quadrature formulae for the numerical approximation of Aumann's integral are investigated, which are set-valued analogues of ordinary quadrature formulae with nonnegative weights, like certain Newton-Cotes formulae or Romberg integration. Essentially, the approach consists in the numerical approximation of the support functional of Aumann's integral by ordinary quadrature formulae. For set-valued integrands which are smooth in an appropriate sense, this approach yields higher order methods, for set-valued integrands which are not smooth enough, it yields further insight into well-known order reduction phenomena. The results are used to define higher order methods for the approximation of reachable sets of certain classes of linear control problems.