Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation

Abstract

In this paper we study the convergence of the Galerkin approximation method applied to the generalized Hamilton-Jacobi-Bellman (GHJB) equation over a compact set containing the origin. The GHJB equation gives the cost of an arbitrary control law and can be used to improve the performance of this control. The GHJB equation can also be used to successively approximate the Hamilton-Jacobi-Bellman equation. We state sufficient conditions that guarantee that the Galerkin approximation converges to the solution of the GHJB equation and that the resulting approximate control is stabilizing on the same region as the initial control. The method is demonstrated on a simple nonlinear system and is compared to a result obtained by using exact feedback linearization in conjunction with the LQR design method.