Higher order numerical schemes for affinely controlled nonlinear systems

被引:38
作者
Grüne, L [1 ]
Kloeden, PE [1 ]
机构
[1] Univ Frankfurt, Fachbereich Math, D-60054 Frankfurt, Germany
关键词
D O I
10.1007/s002110000279
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
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.
引用
收藏
页码:669 / 690
页数:22
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