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

被引：3

作者：

Chen, Guanghua ^{[1
]}

Chen, Guangming ^{[2
]}

机构：

[1] Shanghai Jiao Tong Univ, Coll Econ & Management, Shanghai 200052, Peoples R China

[2] Shanghai Jiao Tong Univ, Sch Mech Engn, Shanghai 200240, Peoples R China

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2011年 / 61卷 / 04期

关键词：

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

D O I：

10.1016/j.camwa.2010.12.038

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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. (C) 2010 Elsevier Ltd. All rights reserved.

引用

页码：901 / 907

页数：7

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