A penalty-based method for solving a discrete HJB complementarity problem

MaRDI QIDQ6550985FDOQ6550985

Authors: Kai Zhang, Xiao Qi Yang, Song Wang 

Publication date: 5 June 2024

Published in: Pacific Journal of Optimization (Search for Journal in Brave)

Recommendations

• A power penalty method for discrete HJB equations
• Penalty methods for the solution of discrete HJB equations -- continuous control and obstacle problems
• A penalty method for the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations in finance
• Power penalty method for solving HJB equations arising from finance
• A power penalty approach to a nonlinear complementarity problem

zbMATH Keywords

convergence rateHJB equationpenalty methodcomplementarity problem

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx) Hamilton-Jacobi equations in optimal control and differential games (49L12)

This page was built for publication: A penalty-based method for solving a discrete HJB complementarity problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6550985)