Abstract
In this paper, the resolution of Hamilton-Jacobi-Bellman equations by multigrid methods is studied. The Howard-multigrid algorithm FMGH is presented and, under some regularity assumptions, a convergence result is established. In addition, it is shown that the complexity of this algorithm is in the order of the number of discretisation points. Some numerical examples are reported.
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Akian, M. (1990). Analyse de l’algorithme multigrille FMGH de résolution d’équations d’Hamilton-Jacobi-Bellman. In: Bensoussan, A., Lions, J.L. (eds) Analysis and Optimization of Systes. Lecture Notes in Control and Information Sciences, vol 144. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120034
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DOI: https://doi.org/10.1007/BFb0120034
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