Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations

Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations

We analyse two practical aspects that arise in the numerical solution of HamiltonJacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide stencil to achieve convergence and result in discretization matri...

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Autors principals:	Reisinger, C, Arto, J
Format:	Journal article
Publicat:	Springer 2017

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