Domain decomposition algorithms for solving hamilton-jacobi-bellman equations

DOI10.1080/01630569308816513MaRDI QIDQ4293290zbMATH OpenOpenAlexFDO

Authors

Publication date 26 May 1994

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01630569308816513

zbMATH Keywords

domain decompositionHamilton-Jacobi-Bellman equationsstochastic control

Mathematics Subject Classification ID

Dynamical systems and ergodic theory (37-XX) Numerical optimization and variational techniques (65K10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stochastic systems in control theory (general) (93E03)

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Cites work

• A capacitance matrix method for Dirichlet problem on polygon region
• scientific article; zbMATH DE number 3168214 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Iterative algorithms for solving undiscounted bellman equations
• Numerical analogs to the Schwarz alternating procedure
• Probability methods for approximations in stochastic control and for elliptic equations
• Singular control problems in bounded intervals

Cited in

(21)

• A splitting algorithm for Hamilton-Jacobi-Bellman equations
• A new domain decomposition method for an HJB equation.
• Nonoverlapping domain decomposition preconditioners for discontinuous Galerkin approximations of Hamilton-Jacobi-Bellman equations
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Domain decomposition based parallel Howard's algorithm
• A class of portfolio selection with a four-factor futures price model
• An adaptive domain decomposition method for the Hamilton-Jacobi-Bellman equation
• A semismooth Newton method for a kind of HJB equation
• A dynamic domain decomposition for the eikonal-diffusion equation
• Reconstruction of independent sub-domains for a class of Hamilton-Jacobi equations and application to parallel computing
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
• scientific article; zbMATH DE number 736366 (Why is no real title available?)
• Domain Decomposition Methods for Large Markov Chain Control Problems and Nonlinear Elliptic-Type Equations
• An approximation scheme for the optimal control of diffusion processes
• A patchy dynamic programming scheme for a class of Hamilton-Jacobi-Bellman equations
• Semismooth Newton and Newton iterative methods for HJB equation
• Modified domain decomposition method for Hamilton-Jacobi-Bellman equations
• An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions
• A relaxation scheme for Hamilton-Jacobi-Bellman equations
• A new iterative method for discrete HJB equations

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