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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| Format: | Journal article |
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Springer
2017
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