Policy iteration for the deterministic control problems -- a viscosity approach

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This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time.

• To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by adding a viscosity term via finite differences in space.
• We prove that PI for the semi-discrete scheme converges exponentially fast, and provide a bound on the error induced by the semi-discrete scheme.
• We also consider the discrete space-time scheme, where both space and time are discretized.