A new iterative method for discrete HJB equations

DOI10.1007/S00211-008-0166-6MaRDI QIDQ957940zbMATH OpenOpenAlexFDO

Authors Zhanyong Zou, Shuzi 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

convergencenumerical examplesalgorithmdomain decompositionfinite difference methodstochastic control problemsupersolutionmultigrid methodJacobi iterationalgorithm Adiscrete Hamilton-Jacobi-Bellman equationelliptic operators of second ordersuccessive iterative scheme

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3736919 (Why is no real title available?)
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• scientific article; zbMATH DE number 3366440 (Why is no real title available?)
• A monotone iterative algorithm for a discrete Hamilton-Jacobi-Bellman equation
• A new domain decomposition method for an HJB equation.
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
• The finite element approximation of Hamilton-Jacobi-Bellman equations

Cited in

(12)

• An iterative algorithm for a kind of HJB equation
• Semismooth Newton and Newton iterative methods for HJB equation
• A nonlinear SOR iterative method for a kind of HJB equation
• A semismooth Newton method for a kind of HJB equation
• A monotone iterative algorithm for a discrete Hamilton-Jacobi-Bellman equation
• An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions
• Computation of generalized differentials in nonlinear complementarity problems
• An effect iteration algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations
• Global Error Bounds for the Extended Vertical Linear Complementarity Problems of CKV-Type Matrices and CKV-Type $B$-Matrices
• The perturbation bound of the extended vertical linear complementarity problem
• An algorithm to solve the discrete HJI equation arising in the L2 gain optimization problem
• scientific article; zbMATH DE number 6178064 (Why is no real title available?)

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