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

Carlier, Guillaume; Salomon, Julien (2008), A monotonic algorithm for the optimal control of the Fokker-Planck equation, 47th IEEE Conference on Decision and Control.CDC 2008. Proceedings, IEEE : Piscataway, NJ, p. 269-273

Type
Communication / Conférence
External document link
https://hal.archives-ouvertes.fr/hal-00267432
Date
2008
Conference country
MEXICO
Book title
47th IEEE Conference on Decision and Control.CDC 2008. Proceedings
Publisher
IEEE
Published in
Piscataway, NJ
ISBN
978-1-4244-3123-6
Pages
269-273
Metadata
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Author(s)
Carlier, Guillaume
Salomon, Julien
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.
Subjects / Keywords
optimal control; Fokker-Planck equation; monotonic scheme; transport