Semismooth Newton and Newton iterative methods for HJB equation

DOI10.1016/j.cam.2011.01.032zbMath1222.65057OpenAlexW2091593085MaRDI QIDQ544221

Zhe Sun, Jin-ping Zeng, Hong-Ru Xu

Publication date: 14 June 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.01.032

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationmonotone convergencesemismooth Newton methodlocal superlinear convergence

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Existence theories for optimal control problems involving partial differential equations (49J20) Hamilton-Jacobi equations (35F21)

Related Items (1)

A semismooth Newton method for a kind of HJB equation

Cites Work

• A relaxation scheme for Hamilton-Jacobi-Bellman equations
• A new iterative method for discrete HJB equations
• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• Iterative solution of large sparse systems of equations. Transl. from the German
• On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
• Weighted max norms, splittings, and overlapping additive Schwarz iterations
• A nonsmooth version of Newton's method
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• Smoothing Methods and Semismooth Methods for Nondifferentiable Operator Equations
• Algebraic theory of multiplicative Schwarz methods
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