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abstract:
In this talk, we consider a sparse grid approach for the solution of Hamilton-Jacobi-Bellman equations. Such equations typically occur for optimal control (OC) problems in continuous time and state space. We use sparse grids for the discretization of the state space, and apply a semi lagrangian scheme based on the dynamic programming approach in order to approximate the HJB-solution. Numerical results will be given for some well known OC-examples. |
