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

H. Alwardi (), S. Wang () and L. Jennings ()

Journal of Global Optimization, 2013, vol. 56, issue 4, 1373 pages

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. Copyright Springer Science+Business Media, LLC. 2013

Keywords: HJB equation; Optimal feedback and stochastic control; Domain decomposition; Parallel computations; Adaptive refinement; Least-squares collocation; Radial basis functions (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10898-012-9850-2

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