We propose multigrid methods for solving Hamilton-Jacobi-Bellman (HJB) and HamiltonJacobi-Bellman-Isaacs (HJBI) equations. The methods are based on the full approximation scheme. We propose a damped-relaxation method as smoother for multigrid. In contrast with policy iteration, the relaxation scheme is convergent for both HJB and HJBI equations. We show by local Fourier analysis that the damped...

We propose multigrid methods for solving the discrete algebraic equations arising from the discretization of the second order Hamilton–Jacobi–Bellman (HJB) and Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We propose a damped-relaxation method as a smoother for multigrid. In contrast with the standard policy iteration, the proposed damped-relaxation scheme is convergent for both HJB and HJB...

We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h for certain types of finite-difference schemes are obtained.

in most of the real-life applications we deal with the problem of transporting some special fruits, as banana, which has particular production and distribution processes. in this paper we restrict our attention to formulating and solving a new bi-criterion problem on a network in which in addition to minimizing the traversing costs, admissibility of the quality level of fruits is a main objecti...

in this paper, a new analytical method to find a near-optimal high gain controller for the non-minimum phase affine nonlinear systems is introduced. this controller is derived based on the closed form solution of the hamilton-jacobi-bellman (hjb) equation associated with the cheap control problem. this methodology employs an algebraic equation with parametric coefficients for the systems with s...