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zbMath0651.65053MaRDI QIDQ3796656

Martina Bloß, Ronald H. W. Hoppe

Publication date: 1989

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Hamilton-Jacobi-Bellman equation dynamic programming value function optimal stochastic control multi-grid algorithm smoothing process Local convergence nonlinear Gauss-Seidel iteration local choice of prolongations and restrictions optimally controlled stochastic switching process

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Nonsmooth analysis (49J52) Numerical computation of solutions to systems of equations (65H10) Optimal stochastic control (93E20)

Related Items (2)

Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations ⋮ Multigrid methods for convergent mixed finite difference scheme for Monge-Ampère equation

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