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

DOI10.1016/j.camwa.2010.12.038zbMath1217.65126MaRDI 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 algorithm; monotone convergence; Hamilton-Jacobi-bellman equation; quasivariational inequality system

Mathematics Subject Classification ID

65N55: Multigrid methods; domain decomposition for boundary value problems involving PDEs

49L20: Dynamic programming in optimal control and differential games

65K15: Numerical methods for variational inequalities and related problems

Related Items

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

Cites Work

• Multi-grid methods for Hamilton-Jacobi-Bellman equations
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• 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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