Semismooth Newton methods with a shooting-like technique for solving a constrained free-boundary HJB equation
DOI10.1016/J.CAM.2021.113428zbMATH Open1459.91160OpenAlexW3122296617MaRDI QIDQ2656089FDOQ2656089
Authors: H. Jiang, N. 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
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free boundaryHamilton-Jacobi-Bellman equationstochastic controlinequality state constraintsprojected semismooth Newton
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- Projected Newton Methods for Optimization Problems with Simple Constraints
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Cited In (5)
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- 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
- A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets
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