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

DOI10.1016/J.CAM.2021.113428MaRDI QIDQ2656089zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundaryHamilton-Jacobi-Bellman equationinequality state constraintsprojected semismooth Newtonstochastic control

Mathematics Subject Classification ID

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

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• Nonmonotone trust-region methods for bound-constrained semismooth equations with applications to nonlinear mixed complementarity problems
• Optimal control applied to biological models.
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• Solution of Optimal Control Problems by a Pointwise Projected Newton Method

Cited in

(5)

• 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
• Equilibrium strategies in a defined benefit pension plan game with regime switching

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• KELLEY

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