Numerical Methods for Optimal Control in High Dimensions

August 29 to September 2, 2005

at the

American Institute of Mathematics, San Jose, California

organized by

Doron Levy, Ian Mitchell, and Adam Oberman

Original Announcement

This workshop will be devoted to problems of optimal control, broadly interpreted to include stochastic control problems and differential games. These problems appear in many engineering fields, including aeronautical engineering, robotics, and process control, and in economics, in particular resource allocation and mathematical finance. It is a standard practice to formulate these problems in terms of a multi-dimensional Hamilton-Jacobi-Bellman (HJB) equation.

The workshop will focus on computational methods for tackling high dimensional HJB and related equations. These methods may include approximation of the problem by another more amenable to computation and/or numerical methods for solution of general or restricted classes of high dimensional equations. This workshop will bring together application specialists, numerical analysts and theorists that will identify open problems and discuss recent progress that has been made in application specific fields.

Material from the workshop

A list of participants.

The workshop schedule.

A report on the workshop activities.