A CURSE-OF-DIMENSIONALITY-FREE NUMERICAL METHOD FOR A CLASS OF HJB PDE'S

Abstract

Max-plus methods have been explored for solution of first-order, nonlinear Hamilton-Jacobi-Bellman partial differential equations (HJB PDEs) and corresponding nonlinear control problems. These methods exploit the max-plus linearity of the associated semigroups. Although these methods provide advantages, they still suffer from the curse-of-dimensionality. Here we consider HJB PDEs where the Hamiltonian takes the form of a (pointwise) maximum of linear/quadratic forms. We obtain a numerical method not subject to the curse-of-dimensionality. The method is based on construction of the dual-space semigroup corresponding to the HJB PDE. This dual-space semigroup is constructed from the dual-space semigroups corresponding to the constituent Hamiltonians.