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Multi-grid methods for Hamilton-Jacobi-Bellman equations

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In this paper we develop multi-grid algorithms for the numerical solution of Hamilton-Jacobi-Bellman equations. The proposed schemes result from a combination of standard multi-grid techniques and the iterative methods used by Lions and mercier in [11]. A convergence result is given and the efficiency of the algorithms is illustrated by some numerical examples.

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  1. Fachbereich Mathematik der Technischen Universität Berlin, Strasse des 17. Juni 135, D-1000, Berlin 12, Germany

    Ronald H. W. Hoppe

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  1. Ronald H. W. Hoppe
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Hoppe, R.H.W. Multi-grid methods for Hamilton-Jacobi-Bellman equations. Numer. Math. 49, 239–254 (1986). https://doi.org/10.1007/BF01389627

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  • DOI: https://doi.org/10.1007/BF01389627

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