AN EFFECT ITERATION ALGORITHM FOR NUMERICAL SOLUTION OF DISCRETE HAMILTON-JACOBI-BELLMAN EQUATIONS

摘要

An algorithm for numerical solution of discrete Hamilton-Jacobi-Bellman equations is proposed. The method begins with a suitable initial guess value of the solution, then finds a suitable matrix to linearize the system and constructs an iteration algorithm to generate the monotone sequence. The convergence of the algorithm for nonlinear discrete Hamilton-Jacobi-Bellman equations is proved. Some numerical examples are presented to confirm the effciency of this algorithm.