A monotonic algorithm for the optimal control of the Fokker-Planck equation

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Date
2008
Link to item file
https://hal.archives-ouvertes.fr/hal-00267432
Dewey
Probabilités et mathématiques appliquées
Sujet
optimal control; Fokker-Planck equation; monotonic scheme; transport
Conference country
MEXICO
Book title
47th IEEE Conference on Decision and Control.CDC 2008. Proceedings
Publisher
IEEE
Publisher city
Piscataway, NJ
Year
2008
ISBN
978-1-4244-3123-6
URI
https://basepub.dauphine.fr/handle/123456789/3446
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Author
Carlier, Guillaume
Salomon, Julien
Type
Communication / Conférence
Item number of pages
269-273
Abstract (EN)
Motivated by some crowd motion models in the presence of noise, we consider an optimal control problem governed by the Fokker-Planck equation. We sketch optimality conditions by means of an Hamilton-Jacobi-Bellman equation and we give a monotonic scheme for the numerical approximation of the solution.