Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for different control parameters. Standard convergence analysis su...
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Format: | Journal article |
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Elsevier
2016
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