A new iterative method for discrete HJB equations (Q957940)
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English | A new iterative method for discrete HJB equations |
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A new iterative method for discrete HJB equations (English)
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1 December 2008
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The goal of this paper is to propose a successive relaxation iterative algorithm for discrete Hamilton-Jacobi-Bellman equation: \((1) \max_{1\leq j\leq K} \{A^JU-F^J\}=0\) where \(A^j \in \mathbb R^{n \times n}, F^j \in \mathbb R^n, j=1,2,\dots K\). Equation (1) is a system of nonsmooth nonlinear equations. A successive iterative scheme, similar to the Jacobi iteration for a linear system is presented. Main result: Numerical tests show that the authors' iterative scheme is faster than algorithm A (a simultaneous iterative scheme). It may be a new choice for solving the subproblems of domain decomposition methods for (1). It is also a possible nonlinear smoother if a new multigrid method for (1) is constructed. The new iterative scheme and the convergence theorem (the monotone convergence for the algorithm) are proposed. Finally some theoretical discussions are also presented.
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elliptic operators of second order
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stochastic control problem
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finite difference method
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algorithm
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supersolution
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successive iterative scheme
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algorithm A
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convergence
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numerical examples
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discrete Hamilton-Jacobi-Bellman equation
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Jacobi iteration
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domain decomposition
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multigrid method
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