A monotonic algorithm for the optimal control of the Fokker-Planck equation
Résumé
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.
Origine | Fichiers produits par l'(les) auteur(s) |
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