An adaptive domain decomposition method for the Hamilton–Jacobi–Bellman equation

An adaptive domain decomposition method for the Hamilton–Jacobi–Bellman equation

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Article ID: iaor20134059
Volume: 56
Issue: 4
Start Page Number: 1361
End Page Number: 1373
Publication Date: Aug 2013
Journal: Journal of Global Optimization
Authors: , ,
Keywords: stochastic control, optimal control
Abstract:

In this paper, we propose an efficient algorithm for a Hamilton–Jacobi–Bellman equation governing a class of optimal feedback control and stochastic control problems. This algorithm is based on a non‐overlapping domain decomposition method and an adaptive least‐squares collocation radial basis function discretization with a novel matrix inversion technique. To demonstrate the efficiency of this method, numerical experiments on test problems with up to three states and two control variables have been performed. The numerical results show that the proposed algorithm is highly parallelizable and its computational cost decreases exponentially as the number of sub‐domains increases.

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