We present a numerical algorithm for solving the Hamilton-Jacobi Bellman equation using a successive Galerkin-wavelet projection scheme. According to this scheme, the so-called Generalized-Hamilton-Jacobi-Bellman (GHJB) equation is solved iteratively starting from a stabilizing solution. As basis function for the Galerkin projections we consider the antiderivatives of the well-known Daubechies' wavelets. Wavelets offer several advantages over traditional bases functions such as time-frequency localization and compact support. A numerical example illustrates the proposed approach.
All Science Journal Classification (ASJC) codes
- Electrical and Electronic Engineering