A new iterative method for discrete HJB equations

DOI10.1007/s00211-008-0166-6zbMath1157.65045OpenAlexW2034834308MaRDI QIDQ957940

Zhanyong Zou, S. Z. Zhou

Publication date: 1 December 2008

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-008-0166-6

zbMATH Keywords

algorithmconvergencefinite difference methodnumerical examplesdomain decompositionmultigrid methodJacobi iterationsupersolutiondiscrete Hamilton-Jacobi-Bellman equationstochastic control problemalgorithm Aelliptic operators of second ordersuccessive iterative scheme

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Decomposition methods (49M27) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items (4)

A semismooth Newton method for a kind of HJB equation ⋮ An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions ⋮ Semismooth Newton and Newton iterative methods for HJB equation ⋮ Computation of generalized differentials in nonlinear complementarity problems

Cites Work

• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• A new domain decomposition method for an HJB equation.
• On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• The finite element approximation of Hamilton-Jacobi-Bellman equations
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