I've looked through some A* pathfinding algorithm examples, but as far as i know they work with grids e.q -> http://qiao.github.io/PathFinding.js/visual/
But how can I use this algorithm in my 3D Engine(I'm using Unreal Engine 4)?
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Actually A* does not use dimensions.
A* works with nodes and each nodes have paths to other nodes.
In the case of a 2D grid every cell is a node and every boundary is an implicit path (left, right, up, down, and/or diagonals), the key here is that it is implicit.
This is a trick to reduce the memory footprint, but A* itself does not require a 2D or 3D grid. You can use A* with explicit paths/connections between the nodes such as a country road map.
In the case of a 3D grid, you apply the same method as a 2D grid but now you can move in the 3rd dimension as well.
But this is not how most 3D games use A* because the memory needed for a usable 3D grid becomes too large very quickly. Instead they use navmeshes.
Search the web for "navmesh"
Blue part is the navmesh:
A* works on those: each triangle is a node, each edge is a path.
There isn't an up-down-left-right, there are neighboring triangles through edges A-B-C.