Abstract
A successive relaxation iterative algorithm for discrete HJB equations is proposed. Monotone convergence has been proved for the algorithm.
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This work was supported by NNSF of China (no. 10571046).
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Zhou, S., Zou, Z. A new iterative method for discrete HJB equations. Numer. Math. 111, 159–167 (2008). https://doi.org/10.1007/s00211-008-0166-6
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DOI: https://doi.org/10.1007/s00211-008-0166-6