Payoff suboptimality and errors in value induced by approximation of the Hamiltonian

Dynamic programming reduces the solution of optimal control problems to solution of the corresponding Hamilton-Jacobi-Bellman partial differential equations (HJB PDEs). In the case of nonlinear deterministic systems, the HJB PDEs are fully nonlinear, first-order PDEs. Standard, grid-based techniques to the solution of such PDEs are subject to the curse-of… CONTINUE READING