A nonlinear SOR iterative method for a kind of HJB equation

MaRDI QIDQ3169470zbMATH OpenFDO

Authors

Publication date 29 September 2011

zbMATH Keywords

Hamilton-Jacobi-Bellman (HJB) equationM-functionmonotone convergencenonlinear equationssuccessive overrelaxation (SOR) iteration method

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Numerical computation of solutions to systems of equations (65H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Recommendations

• A new iterative method for discrete HJB equations
• An iterative algorithm for a kind of HJB equation
• Semismooth Newton and Newton iterative methods for HJB equation
• A monotone iterative algorithm for a discrete Hamilton-Jacobi-Bellman equation
• On supersolution and subsolution of discrete HJB equation

Cited in

(2)

• Semismooth Newton and Newton iterative methods for HJB equation
• A new iterative method for discrete HJB equations

This page was built for publication: A nonlinear SOR iterative method for a kind of HJB equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3169470)