An algorithm to construct subsolutions of convex optimal control problems

Abstract

We propose an algorithm that produces a non-decreasing sequence of subsolutions for a class of optimal control problems distinguished by the property that the associated Bellman operators preserve convexity. In addition to a theoretical discussion and proofs of convergence, numerical experiments are presented to illustrate the feasibility of the method.

37 pages, 3 figures, 5 tables. All comments are welcome