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A semismooth Newton method for a kind of HJB equation

Authors :
Hong-Ru Xu
Shui-Lian Xie
Source :
Computers & Mathematics with Applications. 73:2581-2586
Publication Year :
2017
Publisher :
Elsevier BV, 2017.

Abstract

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.

Subjects

Subjects :
Mathematical analysis
Hamilton–Jacobi–Bellman equation
010103 numerical & computational mathematics
01 natural sciences
010101 applied mathematics
Computational Mathematics
symbols.namesake
Monotone polygon
Computational Theory and Mathematics
Simple (abstract algebra)
Modeling and Simulation
Convergence (routing)
symbols
Point (geometry)
Superlinear convergence rate
0101 mathematics
Newton's method
Mathematics

Details

ISSN :
08981221
Volume :
73
Database :
OpenAIRE
Journal :
Computers & Mathematics with Applications
Accession number :
edsair.doi...........0f6c415b38ca0e330e4e82d253e896e1

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