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math.NA2024
An Uncertainty-aware, Mesh-free Numerical Method for Kolmogorov PDEs
Daisuke Inoue, Yuji Ito, Takahito Kashiwabara +2
This study introduces an uncertainty-aware, mesh-free numerical method for solving Kolmogorov PDEs. In the proposed method, we use Gaussian process regression (GPR) to smoothly int…
math.NA2023★ 1 cited
Convergence Analysis of the Upwind Difference Methods for Hamilton-Jacobi-Bellman Equations
Daisuke Inoue, Yuji Ito, Takahito Kashiwabara +2
This paper investigates the convergence properties of the upwind difference scheme for the Hamilton--Jacobi--Bellman (HJB) equation, a central partial differential equation in opti…