Alwardi, H.; Wang, S.; Jennings, L. - In: Journal of Global Optimization 56 (2013) 4, pp. 1361-1373
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...