Multi-grid methods for Hamilton-Jacobi-Bellman equations (Q1065516): Difference between revisions

We are concerned with multigrid algorithms for the numerical solution of Hamilton-Jacobi-Bellman equations. The proposed schemes result from a combination of standard multigrid techniques and the iterative methods used by \textit{P.-L. Lions} and \textit{B. Mercier} [RAIRO. Anal. Numér. 14, 369-393 (1980; Zbl 0469.65041)]. A convergence result is given and the efficiency of the algorithms is illustrated by some numerical examples.