Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations

DOI10.1007/BF01182626MaRDI QIDQ1925030zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 27 October 1996

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01182626

zbMATH Keywords

alternating direction methodHamilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

Decomposition methods (49M27) Optimal stochastic control (93E20)

Review text

The author is interested in solving efficiently a discretized version of the Hamilton-Jacobi-Bellman equations resulting from an optimal control problem. He suggests to decompose the original problem into a number of lower-dimensional problems and studies how the usual alternating direction method can be extended for solving this type of equations. He also presents some convergence results.

Recommendations

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• scientific article; zbMATH DE number 1488906

Cites work

• Algorithm 432 [C2]: Solution of the matrix equation AX + XB = C [F4]
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• scientific article; zbMATH DE number 3168214 (Why is no real title available?)
• scientific article; zbMATH DE number 3976197 (Why is no real title available?)
• scientific article; zbMATH DE number 3481757 (Why is no real title available?)
• Iterative algorithms for solving undiscounted bellman equations
• Matrix Equation XA + BX = C
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• The Numerical Solution of Parabolic and Elliptic Differential Equations

Cited in

(11)

• A splitting algorithm for Hamilton-Jacobi-Bellman equations
• On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
• An adaptive domain decomposition method for the Hamilton-Jacobi-Bellman equation
• Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• A Max-Plus-Based Algorithm for a Hamilton--Jacobi--Bellman Equation of Nonlinear Filtering
• Splitting methods for Hamilton‐Jacobi equations
• A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation
• Initialization of the shooting method via the Hamilton-Jacobi-Bellman approach
• A relaxation scheme for Hamilton-Jacobi-Bellman equations
• A new iterative method for discrete HJB equations

Describes a project that uses

Uses Software

• Algorithm 432

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