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

Authors:
Guanghua Chen;Guangming Chen
Affiliations:
College of Economics & Management, Shanghai Jiao Tong University, Shanghai, 200052, China;School of Mechanical Engineering, Shanghai Jiao Tong University, Shanghai, 200240, China
Venue:
Computers & Mathematics with Applications
Year:
2011

Citing 3
Cited 0

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Numerical Solution of Hamilton-Jacobi-Bellman Equations by an Upwind Finite Volume Method

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A new domain decomposition method for an HJB equation

Journal of Computational and Applied Mathematics - Special issue: Proceedings of the 6th Japan--China joint seminar on numerical mathematics, university of Tsukuba, Japan, 5-9 August 2002

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Abstract

This paper presents a numerical algorithm based on a variational iterative approximation for the Hamilton-Jacobi-Bellman equation, and a domain decomposition technique based on this algorithm is also studied. The convergence theorems have been established. Numerical results indicate the efficiency and accuracy of the methods.