A relaxation scheme for Hamilton-Jacobi-Bellman equations

DOI10.1016/J.AMC.2006.08.025MaRDI QIDQ876666zbMATH OpenOpenAlexFDO

Authors Zhanyong Zou, Shuzi Zhou

Publication date 26 April 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2006.08.025

zbMATH Keywords

convergenceexistenceHamilton-Jacobi-Bellman equationrelaxation scheme

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10)

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Cites work

• A new domain decomposition method for an HJB equation.
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• scientific article; zbMATH DE number 3736919 (Why is no real title available?)
• scientific article; zbMATH DE number 3366440 (Why is no real title available?)
• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• The finite element approximation of Hamilton-Jacobi-Bellman equations

Cited in

(8)

• Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
• Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations
• A new smoothing nonlinear conjugate gradient method for nonsmooth equations with finitely many maximum functions
• Some non monotone schemes for Hamilton-Jacobi-Bellman equations
• Semismooth Newton and Newton iterative methods for HJB equation
• Initialization of the shooting method via the Hamilton-Jacobi-Bellman approach

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