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

作者：Chen, Guanghua; Chen, Guangming

来源：Computers & Mathematics with Applications, 2011, 61(4): 901-907.

DOI：10.1016/j.camwa.2010.12.038

• Quasivariational inequality system
• Hamilton-Jacobi-Bellman equation
• Iterative algorithm
• Monotone convergence

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.

• 出版日期2011-2
• 单位上海交通大学