Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
DOI10.1080/01630569308816513zbMATH Open0810.65065OpenAlexW2018102821MaRDI QIDQ4293290FDOQ4293290
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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
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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)
Cites Work
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- Singular control problems in bounded intervals
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Cited In (21)
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- A dynamic domain decomposition for the eikonal-diffusion equation
- 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
- Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
- Modified domain decomposition method for Hamilton-Jacobi-Bellman equations
- A semismooth Newton method for a kind of HJB equation
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- 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
- An approximation scheme for the optimal control of diffusion processes
- A relaxation scheme for Hamilton-Jacobi-Bellman equations
- An adaptive domain decomposition method for the Hamilton-Jacobi-Bellman equation
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