A semismooth Newton method for a kind of HJB equation

作者：Xu, Hong-Ru; Xie, Shui-Lian^*

来源：Computers & Mathematics with Applications, 2017, 73(12): 2581-2586.

DOI：10.1016/j.camwa.2017.03.029

• HJB equation
• Semismooth Newton method
• Convergence

In this paper, we present a semismooth Newton method for a kind of HJB equation. By suitably choosing the initial iterative point, the method is proved to have monotone convergence. Moreover, the semismooth Newton method has local superlinear convergence rate. Some simple numerical results are reported.

• 出版日期2017-6-15
• 单位嘉应学院