Raymond Yat Tin, UCLA, An algorithm for overcoming the curse of dimensionality in Hamilton-Jacobi equations
SAS 4201In this talk we discuss an algorithm to overcome the curse of dimensionality, in possibly non-convex/time/state-dependent Hamilton-Jacobi partial differential equations. They may arise from optimal control and differential game problems, and are generally difficult to solve numerically in high dimensions. A major contribution of our works is to consider an optimization problem over a single…