Domain decomposition algorithms for solving hamilton-jacobi-bellman equations

DOI10.1080/01630569308816513MaRDI QIDQ4293290zbMATH OpenOpenAlexFDO

Authors

Publication date 26 May 1994

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01630569308816513

zbMATH Keywords

domain decompositionHamilton-Jacobi-Bellman equationsstochastic control

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic systems in control theory (general) (93E03) Numerical methods for initial value problems involving ordinary differential equations (65L05) Dynamical systems and ergodic theory (37-XX)

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Cites work

• scientific article; zbMATH DE number 3168214 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• A capacitance matrix method for Dirichlet problem on polygon region
• Iterative algorithms for solving undiscounted bellman equations
• Numerical analogs to the Schwarz alternating procedure
• Probability methods for approximations in stochastic control and for elliptic equations
• Singular control problems in bounded intervals

Cited in

(21)

• An adaptive domain decomposition method for the Hamilton-Jacobi-Bellman equation
• A dynamic domain decomposition for the eikonal-diffusion equation
• scientific article; zbMATH DE number 736366 (Why is no real title available?)
• Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
• Domain decomposition based parallel Howard's algorithm
• Semismooth Newton and Newton iterative methods for HJB equation
• A class of portfolio selection with a four-factor futures price model
• A new iterative method for discrete HJB equations
• A splitting algorithm for Hamilton-Jacobi-Bellman equations
• Nonoverlapping domain decomposition preconditioners for discontinuous Galerkin approximations of Hamilton-Jacobi-Bellman equations
• A new domain decomposition method for an HJB equation.
• A patchy dynamic programming scheme for a class of Hamilton-Jacobi-Bellman equations
• Modified domain decomposition method for Hamilton-Jacobi-Bellman equations
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• A semismooth Newton method for a kind of HJB equation
• An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions
• Domain Decomposition Methods for Large Markov Chain Control Problems and Nonlinear Elliptic-Type Equations
• Reconstruction of independent sub-domains for a class of Hamilton-Jacobi equations and application to parallel computing
• A relaxation scheme for Hamilton-Jacobi-Bellman equations
• An approximation scheme for the optimal control of diffusion processes

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