Modified domain decomposition method for Hamilton-Jacobi-Bellman equations  

作　　者：陈光华 陈光明 戴智华 

机构地区：[1]College of Economics and Management,Shanghai Jiao Tong University [2]School of Mechanical Engineering,Shanghai Jiao Tong University

出　　处：《Applied Mathematics and Mechanics(English Edition)》2010年第12期1585-1592,共8页应用数学和力学（英文版）

摘　　要：This paper presents a modified domain decomposition method for the numerical solution of discrete Hamilton-Jacobi-Bellman equations arising from a class of optimal control problems using diffusion models. A convergence theorem is established. Numerical results indicate the effectiveness and accuracy of the method.This paper presents a modified domain decomposition method for the numerical solution of discrete Hamilton-Jacobi-Bellman equations arising from a class of optimal control problems using diffusion models. A convergence theorem is established. Numerical results indicate the effectiveness and accuracy of the method.

关 键 词：optimal control discrete Hamilton-Jacobi-Bellman equations VARIATIONALINEQUALITY modified domain decomposition method CONVERGENCE 

分 类 号：O175.29[理学—数学]