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Higher order numerical schemes for affinely controlled nonlinear systems

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Summary.

A systematic method for the derivation of high order schemes for affinely controlled nonlinear systems is developed. Using an adaptation of the stochastic Taylor expansion for control systems we construct Taylor schemes of arbitrary high order and indicate how derivative free Runge-Kutta type schemes can be obtained. Furthermore an approximation technique for the multiple control integrals appearing in the schemes is proposed.

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Authors and Affiliations

  1. Fachbereich Mathematik, Johann Wolfgang Goethe Universität, 60054 Frankfurt am Main, Germany; e-mail: {gruene, kloeden}@math.uni-frankfurt.de , , , , , , DE

    L. Grüne & P.E. Kloeden

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  1. L. Grüne
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  2. P.E. Kloeden
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Received February 17, 2000 / Revised version received September 18, 2000 / Published online April 5, 2001

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Grüne, L., Kloeden, P. Higher order numerical schemes for affinely controlled nonlinear systems. Numer. Math. 89, 669–690 (2001). https://doi.org/10.1007/s002110000279

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  • DOI: https://doi.org/10.1007/s002110000279

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