A new domain decomposition method for an HJB equation.

DOI10.1016/S0377-0427(03)00554-5zbMath1034.65052MaRDI QIDQ1410862

Wuping Zhan, S. Z. Zhou

Publication date: 15 October 2003

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

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationdomain decomposition methodquasivariational inequalityalgorithmic convergence

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Decomposition methods (49M27) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (14)

Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically ⋮ A relaxation scheme for Hamilton-Jacobi-Bellman equations ⋮ Modified domain decomposition method for Hamilton-Jacobi-Bellman equations ⋮ An iterative algorithm for a quasivariational inequality system related to HJB equation ⋮ A new iterative method for discrete HJB equations ⋮ Domain decomposition based parallel Howard's algorithm ⋮ Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints ⋮ A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation ⋮ A class of portfolio selection with a four-factor futures price model ⋮ Reconstruction of independent sub-domains for a class of Hamilton–Jacobi equations and application to parallel computing ⋮ Two-level additive Schwarz algorithms for nonlinear complementarity problem with anM-function ⋮ Domain decomposition method for a system of quasivariational inequalities ⋮ A monotone Newton multisplitting method for the nonlinear complementarity problem with a nonlinear source term ⋮ An effect iteration algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• On Monotone and Geometric Convergence of Schwarz Methods for Two-Sided Obstacle Problems
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