Iterative upwind finite difference method with completed Richardson extrapolation for state-constrained HJB equations

zbMATH Open1405.65096MaRDI QIDQ2813615FDOQ2813615

Authors: Hartono, L. S. Jennings, Song Wang 

Publication date: 24 June 2016

Published in: Pacific Journal of Optimization (Search for Journal in Brave)

Full work available at URL: http://www.yokohamapublishers.jp/online2/oppjo/vol12/p379.html

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zbMATH Keywords

finite difference methodHamilton-Jacobi-Bellman equationoptimal controlpenalty functionRichardson extrapolation

Mathematics Subject Classification ID

Dynamic programming (90C39) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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• Policy iteration for Hamilton-Jacobi-Bellman equations with control constraints
• Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
• Pricing options on investment project expansions under commodity price uncertainty
• An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations

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