Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93301
Title: | A power penalty method for discrete HJB equations | Authors: | Zhang, K Yang, X |
Issue Date: | Sep-2020 | Source: | Optimization letters, Sept. 2020, v. 14, no. 6, p. 1419-1433 | Abstract: | We develop a power penalty approach to the discrete Hamilton–Jacobi–Bellman (HJB) equation in RN in which the HJB equation is approximated by a nonlinear equation containing a power penalty term. We prove that the solution to this penalized equation converges to that of the HJB equation at an exponential rate with respect to the penalty parameter when the control set is finite and the coefficient matrices are M-matrices. Examples are presented to confirm the theoretical findings and to show the efficiency of the new method. | Keywords: | Convergence rate HJB equation Penalty method |
Publisher: | Springer | Journal: | Optimization letters | ISSN: | 1862-4472 | EISSN: | 1862-4480 | DOI: | 10.1007/s11590-019-01517-7 | Rights: | © Springer-Verlag GmbH Germany, part of Springer Nature 2020 This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use (https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s11590-019-01517-7 |
Appears in Collections: | Journal/Magazine Article |
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Yang_Power_Penalty_Method.pdf | Pre-Published version | 668.13 kB | Adobe PDF | View/Open |
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