A numerical algorithm based on a variational iterative approximation for the discrete Hamilton-Jacobi-Bellman (HJB) equation

DOI10.1016/j.camwa.2010.12.038zbMath1217.65126OpenAlexW1985179654MaRDI QIDQ552239

Guangming Chen, Guanghua Chen

Publication date: 21 July 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.12.038

zbMATH Keywords

iterative algorithmmonotone convergenceHamilton-Jacobi-bellman equationquasivariational inequality system

Mathematics Subject Classification ID

Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Dynamic programming in optimal control and differential games (49L20) Numerical methods for variational inequalities and related problems (65K15)

Related Items (2)

Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ The design of suboptimal asymptotic stabilising controllers for nonlinear slowly varying systems

Cites Work

• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
• A new domain decomposition method for an HJB equation.
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• The finite element approximation of Hamilton-Jacobi-Bellman equations
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