Semismooth Newton and Newton iterative methods for HJB equation

In this paper, some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well‐known Hamilton–Jacobi–Bellman equation. By using the slant differentiability introduced by Chen, Nashed and Qi in 2000, a semismooth Newton method is proposed. The method is proved to have monotone convergence by suitably choosing the initial iterative point and local superlinear convergence rate. Moreover, an inexact version of the proposed method is introduced, which reduces the cost of computations and still preserves nice convergence properties. Some numerical results are also reported.