Semismooth Newton and Newton iterative methods for HJB equation
type: Item
instance of: scholarly article
title: Semismooth Newton and Newton iterative methods for HJB equation
zbMATH Open document ID: 1222.65057
author: Zhe Sun
author: Jinping Zeng
author: Hong-Ru Xu
published in: Journal of Computational and Applied Mathematics
publication date: 2011-06-14T00:00:00Z
review text: Some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well-known Hamilton-Jacobi-Bellman (HJB) equation, which is often encountered in optimal control and other applied areas. The authors first propose a semismooth Newton method and prove its monotone convergence by suitably choosing the initial iterative point and local superlinear convergence rate. Moreover, an inexact version of the proposed method is introduced, which reduces the cost of computations and still preserves nice convergence properties.
reviewed by: Hussain A. El-Saify
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 35F21
Mathematics Subject Classification ID: 49J20
Mathematics Subject Classification ID: 49M15
zbMATH DE Number: 5907715
zbMATH Keywords: semismooth Newton method
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: optimal control
zbMATH Keywords: monotone convergence
zbMATH Keywords: local superlinear convergence
MaRDI profile type: Publication
full work available at URL: j.cam.2011.01.032
OpenAlex ID: W2091593085
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DOI: 10.1016/J.CAM.2011.01.032
description: scientific article; zbMATH DE number 5907715