Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

DOI10.1137/18M1171965MaRDI QIDQ4554791zbMATH OpenOpenAlexWikidataFDO

Authors P. Azimzadeh, Erhan Bayraktar, G. Labahn

Publication date 9 November 2018

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.02922

zbMATH Keywords

viscosity solutionimpulse controlHamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI)implicit numerical schemes

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Abstract: In [Azimzadeh, P., and P. A. Forsyth. "Weakly chained matrices, policy iteration, and impulse control." SIAM J. Num. Anal. 54.3 (2016): 1341-1364], we outlined the theory and implementation of computational methods for implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs). No convergence proofs were given therein. This work closes the gap by giving rigorous proofs of convergence. We do so by introducing the notion of nonlocal consistency and appealing to a Barles-Souganidis type analysis. Our results rely only on a well-known comparison principle and are independent of the specific form of the intervention operator.

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Cited in

(18)

• Undiscounted bandit games
• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
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• Weakly chained matrices, policy iteration, and impulse control
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
• Stochastic optimal switching model for migrating population dynamics
• Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Limit equations of adaptive Erlangization and their application to environmental management
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• Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping

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