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Applied Mathematics and Mechanics (English Edition) ›› 2010, Vol. 31 ›› Issue (12): 1585-1592.doi: https://doi.org/10.1007/s10483-010-1386-8

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Modified domain decomposition method for Hamilton-Jacobi-Bellman equations

CHEN Guang-Hua1, CHEN Guang-Ming2, DAI Zhi-Hua1   

  1. 1. College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200052, P. R. China;
    2. School of Mechanical Engineering, Shanghai Jiao Tong University, Shanghai 200052, P. R. China
  • Received:2010-07-21 Revised:2010-09-27 Online:2010-12-01 Published:2010-12-01

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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.

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