Article ID Journal Published Year Pages File Type
4958553 Computers & Mathematics with Applications 2017 6 Pages PDF
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.
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Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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A semismooth Newton method for a kind of HJB equation
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