Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
The author is interested in solving efficiently a discretized version of the Hamilton-Jacobi-Bellman equations resulting from an optimal control problem. He suggests to decompose the original problem into a number of lower-dimensional problems and studies how the usual alternating direction method can be extended for solving this type of equations. He also presents some convergence results.
scientific article; zbMATH DE number 938676
scientific article