PENALTY METHODS FOR THE SOLUTION OF DISCRETE HJB EQUATIONS-CONTINUOUS CONTROL AND OBSTACLE PROBLEMS
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalization error for a class of penalty terms, and we show that variations of Newton's method can be used to o...
| Những tác giả chính: | , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
2012
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| Tóm tắt: | In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalization error for a class of penalty terms, and we show that variations of Newton's method can be used to obtain globally convergent iterative solvers for the penalized equations. Furthermore, we discuss under what conditions local quadratic convergence of the iterative solvers can be expected. We include numerical results demonstrating the competitiveness of our methods. © 2012 Society for Industrial and Applied Mathematics. |
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