CGS, a fast Lanczos-type solver for nonsymmetric linear systems
SIAM Journal on Scientific and Statistical Computing
SIAM Journal on Scientific and Statistical Computing
Numerical methods for stochastic control problems in continuous time
Numerical methods for stochastic control problems in continuous time
Solving Hamilton-Jacobi-Bellman equations by a modified method of characteristics
Nonlinear Analysis: Theory, Methods & Applications - Lakshmikantham's Legacy: A tribute on his 75th birthday
On application of an alternating direction method to Hamilton-Jacobin-Bellman equations
Journal of Computational and Applied Mathematics - Special issue: Proceedings of the international conference on boundary and interior layers - computational and asymptotic methods (BAIL 2002)
Numerical solution to the optimal feedback control of continuous casting process
Journal of Global Optimization
Approximation of optimal feedback control: a dynamic programming approach
Journal of Global Optimization
Optimal portfolios with regime switching and value-at-risk constraint
Automatica (Journal of IFAC)
Computers & Mathematics with Applications
An adaptive least-squares collocation radial basis function method for the HJB equation
Journal of Global Optimization
An adaptive domain decomposition method for the Hamilton---Jacobi---Bellman equation
Journal of Global Optimization
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In this paper we present a finite volume method for solving Hamilton-Jacobi-Bellman(HJB) equations governing a class of optimal feedback control problems. This method is based on a finite volume discretization in state space coupled with an upwind finite difference technique, and on an implicit backward Euler finite differencing in time, which is absolutely stable. It is shown that the system matrix of the resulting discrete equation is an M-matrix. To show the effectiveness of this approach, numerical experiments on test problems with up to three states and two control variables were performed. The numerical results show that the method yields accurate approximate solutions to both the control and the state variables.