Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations

DOI10.1007/s10915-016-0351-1zbMath1371.65085arXiv1605.04821OpenAlexW2963935434WikidataQ59614149 ScholiaQ59614149MaRDI QIDQ2399158

Julen Rotaetxe Arto, Christoph Reisinger

Publication date: 22 August 2017

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.04821

zbMATH Keywords

stabilityconvergencenumerical examplesfinite difference schemeHamilton-Jacobi-Bellman equationssemi-Lagrangian schemesmultigridpreconditionersCFL conditionfully nonlinear PDEsmonotone approximation schemeswide stencils

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations (35F21) Preconditioners for iterative methods (65F08)

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Uses Software

• HSL
• UMFPACK

Cites Work

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