Semismooth Newton methods with a shooting-like technique for solving a constrained free-boundary HJB equation

DOI10.1016/j.cam.2021.113428zbMath1459.91160OpenAlexW3122296617MaRDI QIDQ2656089

H. Jiang, Nathan L. Gibson

Publication date: 10 March 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113428

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlfree boundaryinequality state constraintsprojected semismooth Newton

Mathematics Subject Classification ID

Newton-type methods (49M15) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (4)

A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets ⋮ Limit equations of adaptive Erlangization and their application to environmental management ⋮ Event-triggered \(H_\infty\) consensus for uncertain nonlinear systems using integral sliding mode based adaptive dynamic programming ⋮ A class of linearization-based collocation methods for initial value and boundary value engineering problems

Uses Software

• KELLEY

Cites Work

• Active-set projected trust-region algorithm for box-constrained nonsmooth equations
• Controlled diffusion models for optimal dividend pay-out
• A nonsmooth version of Newton's method
• Controlled Markov processes and viscosity solutions
• Nonmonotone Trust-Region Methods for Bound-Constrained Semismooth Equations with Applications to Nonlinear Mixed Complementarity Problems
• Projected Newton Methods for Optimization Problems with Simple Constraints
• Solution of Optimal Control Problems by a Pointwise Projected Newton Method
• Optimization of the flow of dividends
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