کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4640133 1341262 2011 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Semismooth Newton and Newton iterative methods for HJB equation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Semismooth Newton and Newton iterative methods for HJB equation
چکیده انگلیسی

In this paper, some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well-known Hamilton–Jacobi–Bellman equation. By using the slant differentiability introduced by Chen, Nashed and Qi in 2000, a semismooth Newton method is proposed. The method is proved to have monotone convergence by suitably choosing the initial iterative point and local superlinear convergence rate. Moreover, an inexact version of the proposed method is introduced, which reduces the cost of computations and still preserves nice convergence properties. Some numerical results are also reported.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 13, 1 May 2011, Pages 3859–3869
نویسندگان
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