Some Convergence Results for Howard's Algorithm
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Publication:3584633
DOI10.1137/08073041XzbMath1201.49030OpenAlexW2088299544MaRDI QIDQ3584633
Olivier Bokanowski, Hasnaa Zidani, Stefania Maroso
Publication date: 30 August 2010
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/08073041x
superlinear convergencemin-max problemHoward's algorithm (policy iterations)primal-dual active set algorithmsemismooth Newton's methoddouble-obstacle problem
Minimax problems in mathematical programming (90C47) Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Portfolio theory (91G10)
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