Geodesic
A numerical method for the minimax solution of the Bellman equation in the Cauchy problem with additional restrictions
Trudy Instituta matematiki i mehaniki, Dynamical systems: modeling, optimization, and control, Tome 12 (2006) no. 1, pp. 208-215 
N. N. Subbotina; T. B. Tokmantsev. A numerical method for the minimax solution of the Bellman equation in the Cauchy problem with additional restrictions. Trudy Instituta matematiki i mehaniki, Dynamical systems: modeling, optimization, and control, Tome 12 (2006) no. 1, pp. 208-215. http://geodesic.mathdoc.fr/item/TIMM_2006_12_1_a15/
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Voir la notice du chapitre de livre provenant de la source Math-Net.Ru

A new numerical method is suggested for constructing the value function in optimal control problems of prescribed duration with positional running cost along motions of controlled dynamical systems. The algorithm is based on a backward procedure involving characteristics of the Bellman equation. Estimations of the approximation are provided. Results of simulations for a model example are exposed.

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