A semismooth Newton method for a kind of HJB equation

被引：4
|
作者：
Xu, Hong-Ru [1 ]
Xie, Shui-Lian [1 ]
机构：
[1] Jiaying Univ, Sch Math, Meizhou 514075, Peoples R China
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2017年 / 73卷 / 12期
关键词：
HJB equation; Semismooth Newton method; Convergence; JACOBI-BELLMAN EQUATIONS;
D O I：
10.1016/j.camwa.2017.03.029
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we present a semismooth Newton method for a kind of HJB equation. By suitably choosing the initial iterative point, the method is proved to have monotone convergence. Moreover, the semismooth Newton method has local superlinear convergence rate. Some simple numerical results are reported. (C) 2017 Elsevier Ltd. All rights reserved.
引用
收藏
页码：2581 / 2586
页数：6
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