Multi-grid methods for Hamilton-Jacobi-Bellman equations (Q1065516)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-grid methods for Hamilton-Jacobi-Bellman equations |
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Multi-grid methods for Hamilton-Jacobi-Bellman equations (English)
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1986
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We are concerned with multigrid algorithms for the numerical solution of Hamilton-Jacobi-Bellman equations. The proposed schemes result from a combination of standard multigrid techniques and the iterative methods used by \textit{P.-L. Lions} and \textit{B. Mercier} [RAIRO. Anal. Numér. 14, 369-393 (1980; Zbl 0469.65041)]. A convergence result is given and the efficiency of the algorithms is illustrated by some numerical examples.
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multigrid methods
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Hamilton-Jacobi-Bellman equations
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convergence
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numerical examples
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