Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/93301
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dc.contributorDepartment of Applied Mathematics-
dc.creatorZhang, Ken_US
dc.creatorYang, Xen_US
dc.date.accessioned2022-06-15T03:42:41Z-
dc.date.available2022-06-15T03:42:41Z-
dc.identifier.issn1862-4472en_US
dc.identifier.urihttp://hdl.handle.net/10397/93301-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rights© Springer-Verlag GmbH Germany, part of Springer Nature 2020en_US
dc.rightsThis 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/s11590-019-01517-7en_US
dc.subjectConvergence rateen_US
dc.subjectHJB equationen_US
dc.subjectPenalty methoden_US
dc.titleA power penalty method for discrete HJB equationsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1419en_US
dc.identifier.epage1433en_US
dc.identifier.volume14en_US
dc.identifier.issue6en_US
dc.identifier.doi10.1007/s11590-019-01517-7en_US
dcterms.abstractWe 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.-
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationOptimization letters, Sept. 2020, v. 14, no. 6, p. 1419-1433en_US
dcterms.isPartOfOptimization lettersen_US
dcterms.issued2020-09-
dc.identifier.scopus2-s2.0-85077211310-
dc.identifier.eissn1862-4480en_US
dc.description.validate202206 bcfc-
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0144-
dc.description.fundingSourceSelf-fundeden_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS20442814-
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