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- Title
Modified domain decomposition method for Hamilton-Jacobi-Bellman equations.
- Authors
Chen, Guang-hua; Chen, Guang-ming; Dai, Zhi-hua
- Abstract
This paper presents a modified domain decomposition method for the numerical solution of discrete Hamilton-Jacobi-Bellman equations arising from a class of optimal control problems using diffusion models. A convergence theorem is established. Numerical results indicate the effectiveness and accuracy of the method.
- Subjects
DECOMPOSITION method; MATHEMATICAL programming; STOCHASTIC convergence; MECHANICAL engineering; STEAM engineering; HAMILTON-Jacobi equations; VARIATIONAL inequalities (Mathematics)
- Publication
Applied Mathematics & Mechanics, 2010, Vol 31, Issue 12, p1585
- ISSN
0253-4827
- Publication type
Article
- DOI
10.1007/s10483-010-1386-8