Exact Conversion of Second-Order HJ PDE Problems to First-Order HJ PDE Problems

Mac McEneaney
University of California, San Diego (UCSD)
Control & Games

The extremely fast max-plus curse-of-dimensionality-free solution methods are most effective on first-order HJ PDEs. Here, we present a means for converting second-order HJ PDE problems, associated to stochastic control problems, to first-order HJ PDE problems, associated to deterministic control problems.

Back to Workshop I: High Dimensional Hamilton-Jacobi Methods in Control and Differential Games