Optimise the whole control-vector at once?

anriseth / HJBSolver.jl

General solver for Hamilton-Jacobi-Bellman equations

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Optimise the whole control-vector at once? #8

Open anriseth opened 7 years ago

anriseth commented 7 years ago

Currently the policy iteration approach loops over each x-value and optimises the control only at that position. Is it possible (and faster) to run a larger optimisation over the controls on all x-values instead? Maybe by summing together hamiltonian(i,j) for all the indices i (and j in 2D)?

anriseth commented 7 years ago

How does ForwardDiff deal with this?