Modified domain decomposition method for Hamilton-Jacobi-Bellman equations
convergencedomain decomposition methodGauss-Seidel type iterationHamilton-Jacobi-Bellman equationsnumerical resultsoptimal controlparallel computationsecond order elliptic equationsvariational inequalities
Hamilton-Jacobi equations (35F21) Numerical computation of solutions to systems of equations (65H10) Numerical methods for variational inequalities and related problems (65K15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Parallel numerical computation (65Y05)
The authors consider a class of optimal control problems which is connected to a series of second order elliptic equations posed in \(\mathbb R^n\), along with first kind boundary values. After a suitable discretization, they get a discrete Hamilton-Jacobi-Bellman equation and investigate an iterative method for its numerical solution which requires the solution of variational inequalities in every step. Here, a domain decomposition method helps to parallelize the approach. Instead of the Jacobi-type iteration of \textit{S. Zhou} and \textit{W. Zhan} [J. Comput. Appl. Math. 159, No.~1, 195--204 (2003; Zbl 1034.65052)], they consider a Gauss-Seidel type iteration and prove its convergence. They also give numerical results showing the improvement over the earlier approach. Reviewer's remark: It should be noted that there are several difficulties connected mostly to badly chosen or not explained indices hindering a clear understanding of the paper -- the simplest of which consists in taking the same index, \(n\), for the iteration count and for the dimension of the original elliptic problems.
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