Some Convergence Results for Howard's Algorithm
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Publication:3584633
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- Howard's algorithm in a phase-field topology optimization approach
- Rates of convergence for the policy iteration method for mean field games systems
- Solution method for discrete double obstacle problems based on a power penalty approach
- The primal-dual active set method for a class of nonlinear problems with T-monotone operators
- Domain decomposition based parallel Howard's algorithm
- Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
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- A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- Multigrid methods for two-player zero-sum stochastic games.
- Weakly chained matrices, policy iteration, and impulse control
- Unified analysis of discontinuous Galerkin and \(C^0\)-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
- Large strain phase-field-based multi-material topology optimization
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- Multigrid methods for convergent mixed finite difference scheme for Monge-Ampère equation
- Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
- A semi-Lagrangian algorithm in policy space for hybrid optimal control problems
- Discontinuous Galerkin and \(C^0\)-IP finite element approximation of periodic Hamilton-Jacobi-Bellman-Isaacs problems with application to numerical homogenization
- Numerical approximation of equations involving minimal/maximal operators by successive solution of obstacle problems
- Universal meshes for smooth surfaces with no boundary in three dimensions
- Regularity and stability of feedback relaxed controls
- Adaptive \(C^0\) interior penalty methods for Hamilton-Jacobi-Bellman equations with cordes coefficients
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains
- Convergent semi-Lagrangian methods for the Monge-Ampère equation on unstructured grids
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- A policy iteration algorithm for nonzero-sum stochastic impulse games
- An efficient numerical method for the robust optimal investment problem with general utility functions
- High order Bellman equations and weakly chained diagonally dominant tensors
- Monotone mixed finite difference scheme for Monge-Ampère equation
- High-order filtered schemes for time-dependent second order HJB equations
- Discrete Miranda-Talenti estimates and applications to linear and nonlinear PDEs
- An accelerated monotonic convergent algorithm for a class of non-Lipschitzian NCP\((F)\) involving an \(M\)-matrix
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Free boundary value problems and HJB equations for the stochastic optimal control of elasto-plastic oscillators
- Boundary effects in a phase-field approach to topology optimization
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
- A policy iteration method for mean field games
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
- A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix
- An Accelerated Value/Policy Iteration Scheme for Optimal Control Problems and Games
- Power penalty method for solving HJB equations arising from finance
- Three-dimensional adaptive domain remeshing, implicit domain meshing, and applications to free and moving boundary problems
- Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians
- Fishery management in a regime switching environment: utility theory approach
- Local minimization algorithms for dynamic programming equations
- Convergent finite difference methods for fully nonlinear elliptic equations in three dimensions
- A Bézier-based approach to unstructured moving meshes
- A generalized Newton method for a class of discrete-time linear complementarity systems
- Multigrid methods for image registration model based on optimal mass transport
- A power penalty method for discrete HJB equations
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- Finite element approximation of the Isaacs equation
- Numerical analysis of strongly nonlinear PDEs
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