Journal of Scientific Computing

, Volume 70, Issue 1, pp 1–28 | Cite as

Suboptimal Feedback Control of PDEs by Solving HJB Equations on Adaptive Sparse Grids

  • Jochen Garcke
  • Axel Kröner


An approach to solve finite time horizon suboptimal feedback control problems for partial differential equations is proposed by solving dynamic programming equations on adaptive sparse grids. A semi-discrete optimal control problem is introduced and the feedback control is derived from the corresponding value function. The value function can be characterized as the solution of an evolutionary Hamilton–Jacobi Bellman (HJB) equation which is defined over a state space whose dimension is equal to the dimension of the underlying semi-discrete system. Besides a low dimensional semi-discretization it is important to solve the HJB equation efficiently to address the curse of dimensionality. We propose to apply a semi-Lagrangian scheme using spatially adaptive sparse grids. Sparse grids allow the discretization of the value functions in (higher) space dimensions since the curse of dimensionality of full grid methods arises to a much smaller extent. For additional efficiency an adaptive grid refinement procedure is explored. The approach is illustrated for the wave equation and an extension to equations of Schrödinger type is indicated. We present several numerical examples studying the effect the parameters characterizing the sparse grid have on the accuracy of the value function and the optimal trajectory.


Closed-loop suboptimal control of PDEs HJB equations Sparse grids Curse of dimensionality 

Mathematics Subject Classification

49K20 49N35 49L20 65D15 


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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.Institut für Numerische SimulationUniversität BonnBonnGermany
  2. 2.Fraunhofer SCAISankt AugustinGermany
  3. 3.INRIA Saclay and CMAP, École PolytechniquePalaiseau CedexFrance

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