In this work, we present a novel power penalty method for the approximation of a global solution to a double obstacle complementarity problem involving a semilinear parabolic differential operator and a bounded feasible solution set. We first rewrite the double obstacle complementarity problem...

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...