A penalty-based method for solving a discrete HJB complementarity problem

MaRDI QIDQ6550985zbMATH OpenFDO

Authors Kai Zhang, Xiao Qi Yang, Song Wang

Publication date 5 June 2024

Published in Pacific Journal of Optimization (Search for Journal in Brave)

zbMATH Keywords

complementarity problemconvergence rateHJB equationpenalty method

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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