A relaxation scheme for Hamilton-Jacobi-Bellman equations

被引：2
|
作者：
Zhou, Shuzi [1 ]
Zou, Zhanyong [1 ]
机构：
[1] Hunan Univ, Inst Appl Math, Changsha, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2007年 / 186卷 / 01期
基金：
中国国家自然科学基金;
关键词：
relaxation scheme; Hamilton-Jacobi-Bellman equation; convergence; existence;
D O I：
10.1016/j.amc.2006.08.025
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we propose a relaxation scheme for solving discrete Hamilton-Jacobi-Bellman equations based on Scheme I of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows the scheme is efficient. The existence of the solution of Hamilton-Jacobi-Bellman equation has also been discussed. (C) 2006 Elsevier Inc. All rights reserved.
引用
收藏
页码：806 / 813
页数：8
相关论文
共 50 条
  • [1] Hamilton-Jacobi-Bellman Equations
    Festa, Adriano
    Guglielmi, Roberto
    Hermosilla, Christopher
    Picarelli, Athena
    Sahu, Smita
    Sassi, Achille
    Silva, Francisco J.
    OPTIMAL CONTROL: NOVEL DIRECTIONS AND APPLICATIONS, 2017, 2180 : 127 - 261
  • [2] ON THE HAMILTON-JACOBI-BELLMAN EQUATIONS
    LIONS, PL
    ACTA APPLICANDAE MATHEMATICAE, 1983, 1 (01) : 17 - 41
  • [3] Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations
    Munos, R
    Zidani, H
    COMPTES RENDUS MATHEMATIQUE, 2005, 340 (07) : 499 - 502
  • [4] DEGENERATE HAMILTON-JACOBI-BELLMAN EQUATIONS
    LIONS, PL
    COMPTES RENDUS HEBDOMADAIRES DES SEANCES DE L ACADEMIE DES SCIENCES SERIE A, 1979, 289 (05): : 329 - 332
  • [5] STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATIONS
    PENG, SG
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1992, 30 (02) : 284 - 304
  • [6] A SEMI-LAGRANGIAN SCHEME FOR HAMILTON-JACOBI-BELLMAN EQUATIONS ON NETWORKS
    Carlini, E.
    Festa, A.
    Forcadel, N.
    SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 58 (06) : 3165 - 3196
  • [7] A PATCHY DYNAMIC PROGRAMMING SCHEME FOR A CLASS OF HAMILTON-JACOBI-BELLMAN EQUATIONS
    Cacace, Simone
    Cristiani, Emiliano
    Falcone, Maurizio
    Picarelli, Athena
    SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2012, 34 (05): : A2625 - A2649
  • [8] A patchy dynamic programming scheme for a class of Hamilton-Jacobi-Bellman equations
    Dipartimento di Matematica, SAPIENZA, Università di Roma, 00185 Rome, Italy
    Siam J. Sci. Comput., 5 (A2625-A2649):
  • [9] Hamilton-Jacobi-Bellman equations and optimal control
    Dolcetta, IC
    VARIATIONAL CALCULUS, OPTIMAL CONTROL AND APPLICATIONS, 1998, 124 : 121 - 132
  • [10] Hamilton-Jacobi-Bellman equations on time scales
    Department of Mathematics, Guizhou University, Guiyang, 550025, China
    不详
    Math. Comput. Model., 9-10 (2019-2028):
12345