Modified domain decomposition method for Hamilton-Jacobi-Bellman equations

CHEN Guang-Hua;CHEN Guang-Ming;DAI Zhi-Hua

doi:10.1007/s10483-010-1386-8

Applied Mathematics and Mechanics >

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

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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 date: 2010-07-21

Revised date: 2010-09-27

Online 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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CHEN Guang-Hua;CHEN Guang-Ming;DAI Zhi-Hua . Modified domain decomposition method for Hamilton-Jacobi-Bellman equations[J]. Applied Mathematics and Mechanics, 2010 , 31(12) : 1585 -1592 . DOI: 10.1007/s10483-010-1386-8

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