高校应用数学学报B辑
高校應用數學學報B輯
고교응용수학학보B집
APPLIED MATHEMATICS A JOURNAL OF CHINESE UNIVERSITIES
2005年
3期
347-351
,共5页
程晓良%徐渊辑%孟炳泉
程曉良%徐淵輯%孟炳泉
정효량%서연집%맹병천
iteration algorthm%Hamilton-Jacobi-Bellman equation%monotone sequence
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.
