Displaying similar documents to “A fast algorithm for the two dimensional HJB equation of stochastic control”

On evolution Galerkin methods for the Maxwell and the linearized Euler equations

Mária Lukáčová-Medviďová, Jitka Saibertová, Gerald G. Warnecke, Yousef Zahaykah (2004)

Applications of Mathematics

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The subject of the paper is the derivation and analysis of evolution Galerkin schemes for the two dimensional Maxwell and linearized Euler equations. The aim is to construct a method which takes into account better the infinitely many directions of propagation of waves. To do this the initial function is evolved using the characteristic cone and then projected onto a finite element space. We derive the divergence-free property and estimate the dispersion relation as well. We present...

The Tree-Grid Method with Control-Independent Stencil

Kossaczký, Igor, Ehrhardt, Mattias, Günther, Michael

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The Tree-Grid method is a novel explicit convergent scheme for solving stochastic control problems or Hamilton-Jacobi-Bellman equations with one space dimension. One of the characteristics of the scheme is that the stencil size is dependent on space, control and possibly also on time. Because of the dependence on the control variable, it is not trivial to solve the optimization problem inside the method. Recently, this optimization part was solved by brute-force testing of all permitted...

Inequality-based approximation of matrix eigenvectors

András Kocsor, József Dombi, Imre Bálint (2002)

International Journal of Applied Mathematics and Computer Science

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A novel procedure is given here for constructing non-negative functions with zero-valued global minima coinciding with eigenvectors of a general real matrix A. Some of these functions are distinct because all their local minima are also global, offering a new way of determining eigenpairs by local optimization. Apart from describing the framework of the method, the error bounds given separately for the approximation of eigenvectors and eigenvalues provide a deeper insight into the fundamentally...