An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems

@article{Karlsson2015AnEE,
  title={An Error Estimate for Symplectic Euler Approximation of Optimal Control Problems},
  author={Jesper Karlsson and Stig Larsson and Mattias Sandberg and Anders Szepessy and Ra{\'u}l Tempone},
  journal={SIAM J. Sci. Comput.},
  year={2015},
  volume={37}
}
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… Expand

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