Multi-grid methods for Hamilton-Jacobi-Bellman equations
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Publication:1065516
DOI10.1007/BF01389627zbMath0577.65088MaRDI QIDQ1065516
Publication date: 1986
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/133110
Dynamic programming in optimal control and differential games (49L20) Initial-boundary value problems for second-order hyperbolic equations (35L20) Iterative numerical methods for linear systems (65F10) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
Related Items (24)
Multilevel techniques for the solution of HJB minimum-time control problems ⋮ A constructive approach to the Bellman semigroup ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Numerical methods for dynamic Bertrand oligopoly and American options under regime switching ⋮ Unnamed Item ⋮ Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations ⋮ Une méthode multigrille pour la solution des problèmes d'obstacle ⋮ A semismooth Newton method for a kind of HJB equation ⋮ A relaxation scheme for Hamilton-Jacobi-Bellman equations ⋮ Modified domain decomposition method for Hamilton-Jacobi-Bellman equations ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions ⋮ Numerical analysis of strongly nonlinear PDEs ⋮ Multigrid methods for convergent mixed finite difference scheme for Monge-Ampère equation ⋮ Approximate solution of the Hamilton-Jacobi-Bellman equation ⋮ A new iterative method for discrete HJB equations ⋮ Multigrid methods for two‐player zero‐sum stochastic games ⋮ Semismooth Newton and Newton iterative methods for HJB equation ⋮ A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation ⋮ The finite element approximation of Hamilton-Jacobi-Bellman equations ⋮ An approximation scheme for the optimal control of diffusion processes ⋮ Computation of generalized differentials in nonlinear complementarity problems ⋮ An effect iteration algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations ⋮ A multi-grid method for variational inequalities in contact problems
Cites Work
- Optimal control of Markov chains admitting strong and weak interactions
- On multi-grid methods for variational inequalities
- Linear and quasilinear elliptic equations
- Convergence of Multi-Grid Iterations Applied to Difference Equations
- On the Approximation of Linear Elliptic Differential Equations by Difference Equations with Positive Coefficients
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