Multigrid Methods for Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs Equations
We propose multigrid methods for solving Hamilton-Jacobi-Bellman (HJB) and Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations. The methods are based on the full approximation scheme. We propose a damped-relaxation method as smoother for multigrid. In contrast with policy iteration, the relaxation schem...
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| Language: | en |
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2011
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| Online Access: | http://hdl.handle.net/10012/6021 |
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