AN EFFECT ITERATION ALGORITHM FOR NUMERICAL SOLUTION OF DISCRETE HAMILTON-JACOBIBELLMAN EQUATIONS

AN EFFECT ITERATION ALGORITHM FOR NUMERICAL SOLUTION OF DISCRETE HAMILTON-JACOBIBELLMAN EQUATIONS

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 conve...

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Veröffentlicht in:Applied mathematics. Gao xiao ying yong shu xue xue bao. Ser. B 2005, Vol.20 (3), p.347-351
1. Verfasser: Cheng Xiaoliang Xu Yuanji Meng Bingquan
Format: Artikel
Sprache:eng
Schlagworte:
Hamilton-Jacobi-Bellman方程
数字算法
离散分布
线性系统
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Zusammenfassung: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.
ISSN:1005-1031