Solving the HJB equation with state constraints (source code)

Source code for solving the Hamilton-Jacobi-Bellman equation for a stochastic system with state constraints will soon appear here. The code is based on collocation using PROPT, and the SNOPT nonlinear solver.

For more information see, Solving the Hamilton-Jacobi-Bellman equation for a stochastic system with state constraints by P. Rutquist et al, in Procedings from the 53rd IEEE Conference on Decision and Control, or the technical report with the same name in the Chalmers Publication Library.