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An effect iteration algorithm for numerical solution of discrete hamilton-jacobi-bellman equations

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Abstract

An algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations is proposed. The method begins with a suitable initial guess value of the solution, then finds a suitable matrix to linearize the system and constructs an iteration algorithm to generate the monotone sequence. The convergence of the algorithm for nonlinear discrete Hamilton-Jacobi-Bellman equations is proved. Some numerical examples are presented to confirm the effciency of this algorithm.

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Authors and Affiliations

  1. Dept. of Math., Zhejiang Univ., 310028, Hangzhou, China

    Chen Xiaoliang, Xu Yuanji & Meng Bingquan

  2. Dept. of Math., Zhejiang Univ., 310027, Hangzhou, China

    Chen Xiaoliang, Xu Yuanji & Meng Bingquan

  3. Computer Center, Zhejiang Univ., 310027, Hangzhou, China

    Chen Xiaoliang, Xu Yuanji & Meng Bingquan

Authors
  1. Chen Xiaoliang
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  2. Xu Yuanji
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  3. Meng Bingquan
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Supported by the National Natural Science Foundation of China(10471129).

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Xiaoliang, C., Yuanji, X. & Bingquan, M. An effect iteration algorithm for numerical solution of discrete hamilton-jacobi-bellman equations. Appl. Math. Chin. Univ. 20, 347–351 (2005). https://doi.org/10.1007/s11766-005-0011-y

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  • DOI: https://doi.org/10.1007/s11766-005-0011-y

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