Adaptive spline interpolation for Hamilton–Jacobi–Bellman equations

Florian Bauer, Lars Grüne, Willi Semmler
We study the performace of adaptive spline interpolation in semi--Lagrangian discretization schemes for Hamilton--Jacobi--Bellman equations. We investigate the local approximation properties of cubic splines on locally refined grids by a theoretical analysis. Numerical examples show how this method performs in practice. Using those examples we also illustrate numerical stability issues.
doi:10.15495/epub_ubt_00005527 fatcat:tcgsxahiavfixef6jgdqmrls4q