A relaxation scheme for Hamilton-Jacobi-Bellman equations

被引：2
|
作者：
Zhou, Shuzi [1 ]
Zou, Zhanyong [1 ]
机构：
[1] Hunan Univ, Inst Appl Math, Changsha, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2007年 / 186卷 / 01期
基金：
中国国家自然科学基金;
关键词：
relaxation scheme; Hamilton-Jacobi-Bellman equation; convergence; existence;
D O I：
10.1016/j.amc.2006.08.025
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we propose a relaxation scheme for solving discrete Hamilton-Jacobi-Bellman equations based on Scheme I of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows the scheme is efficient. The existence of the solution of Hamilton-Jacobi-Bellman equation has also been discussed. (C) 2006 Elsevier Inc. All rights reserved.
引用
收藏
页码：806 / 813
页数：8
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