Solución Numérica de Control Óptimo con el Criterio de Minimizar el Costo Máximo

Abstract

In this paper we consider the numerical solution of the cuasi-variational inequality associated to the problem of minimizing the maximum of a scalar functional on a trajectory. We consider all approximated solution obtained by discretization on time and spatial variables and we study the rate of convergence of the discretized solutions to the optimal cost function of the original problem. This
approximated solution is obtained by solving the problem resulting from the discretintion of the principle of dynamic programming.