Multi-grid methods for Hamilton-Jacobi-Bellman equations

DOI10.1007/BF01389627zbMath0577.65088MaRDI QIDQ1065516

Ronald H. W. Hoppe

Publication date: 1986

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/133110

zbMATH Keywords

convergence; numerical examples; Hamilton-Jacobi-Bellman equations; multigrid methods

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

35L20: Initial-boundary value problems for second-order hyperbolic equations

65F10: Iterative numerical methods for linear systems

65N22: Numerical solution of discretized equations for boundary value problems involving PDEs

Related Items

An approximation scheme for the optimal control of diffusion processes, The finite element approximation of Hamilton-Jacobi-Bellman equations, A relaxation scheme for Hamilton-Jacobi-Bellman equations, A new iterative method for discrete HJB equations, A multi-grid method for variational inequalities in contact problems, An effect iteration algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations, Une méthode multigrille pour la solution des problèmes d'obstacle, Unnamed Item, A constructive approach to the Bellman semigroup

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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